ROMBOUTS, Jeroen V.K.; STENTOFT, Lars - Center for Operations Research and Econometrics (CORE), … - 2009
-mail: corestat-library@uclouvain.be
htp:/ww.uclouvain.be/en-4508.html
CORE DISCUION PAPER
2009/13
Bayesian optio pricing … stochastic volatility models improve on the option pricing error when compared to the
Black-Scholes-Merton model, mispricings … pricing, finite mixture models, out-ofsample prediction,
GARCH models.
JEL Classification: C11, C15, C22, G13 …