Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Sharif Mozumder, Taufiq Choudhry, Michael Dempsey
| Year of publication: |
2021
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|---|---|
| Authors: | Mozumder, Sharif ; Choudhry, Taufiq ; Dempsey, Michael |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 57.2021, 4, p. 1287-1305
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| Subject: | GARCH pricing | Stochastic volatility pricing | Lévy pricing | Fast Fourier transform | Bayesian regression | MCMC regression | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-020-10029-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012543312