Rombouts, Jeroen V.K.; Stentoft, Lars - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 588-605
Option pricing using mixed normal heteroscedasticity models is considered. It is explained how to perform inference and … differences are found. When pricing a rich sample of options on the index, both methods yield similar pricing errors measured in …, when it comes to option pricing where large amounts of data are available, the choice of the inference method is …