Showing 1 - 3 of 3
We propose a nonparametric Bayesian approach for the estimation of the pricing kernel. Historical stock returns and option market data are combined through the Dirichlet Process (DP) to construct an option-adjusted physical measure. The precision parameter of the DP process is calibrated to the...
Persistent link: https://www.econbiz.de/10011506354
Persistent link: https://www.econbiz.de/10011506353
Persistent link: https://www.econbiz.de/10012439749