Rombouts, Jeroen V. K.; Stentoft, Lars - 2009
CREATES Research Paper 2009-7
Bayesian Option Pricing Using Mixed Normal
Heteroskedasticity Models …-8000 Aarhus C
Denmark
BAYESIAN OPTION PRICING USING MIXED NORMAL
HETEROSKEDASTICITY MODELS
Jeroen V ….K. Rombouts
1
and Lars Stentoft
2
February 13, 2009
Abstract
While stochastic volatility models improve on the option pricing …