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~isPartOf:"CREATES Research Paper"
~isPartOf:"Cahiers de recherche"
~person:"Palma, André de"
~person:"Stentoft, Lars"
~subject:"Bayesian inference"
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Bayesian Option
Pricing
Using Mixed Normal Heteroskedasticity Models
Rombouts, Jeroen V.K.
;
Stentoft, Lars
-
Centre Interuniversitaire sur le Risque, les Politiques …
-
2009
While stochastic volatility models improve on the option
pricing
error when compared to the Black-Scholes-Merton model …
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