Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis

Sharif Mozumder, Taufiq Choudhry, Michael Dempsey

Year of publication:	2021
Authors:	Mozumder, Sharif ; Choudhry, Taufiq ; Dempsey, Michael
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://ebvufind01.dmz1.zbw.eu/10012543312