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Implicit Bayesian inference using option prices
Martin, Gael M.; Forbes, Catherine Scipione; Martin, Vance - 2000
Persistent link: https://www.econbiz.de/10001506963
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The distribution of exchange rate returns and tahe pricing of currency opations
Lim, Guay C.; Lye, Jenny N.; Martin, Gael M.; Martin, Vance - In: Journal of international economics 45 (1998) 2, pp. 351-368
Persistent link: https://www.econbiz.de/10001395805
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Implicit Bayesian inference using option prices
Martin, Gael M.; Forbes, Catherine Scipione; Martin, Vance - 2003
Persistent link: https://www.econbiz.de/10001751155
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Pricing Australian S&P200 options : a Bayesian approach based on generalized distributional forms
Flynn, David B.; Grose, Simone D.; Martin, Gael M.; … - 2003
Persistent link: https://www.econbiz.de/10001751171
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Pricing currency options in tranquil markets : modelling volatility frowns
Lim, Guay C.; Martin, Gael M.; Martin, Vance - 2002
Persistent link: https://www.econbiz.de/10001704963
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Bayesian estimation of a stochastic volatility model using option and spot prices
Forbes, Catherine Scipione; Martin, Gael M.; Wright, Jill - 2002
Persistent link: https://www.econbiz.de/10001704968
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Parametric pricing of higher order moments in S&P500 options
Lim, Guay C.; Martin, Gael M.; Martin, Vance - 2002
Persistent link: https://www.econbiz.de/10001704970
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Bayesian estimation of a stochastic volatility model using option and spot prices : application of a Bivariate Kalman Filter
Forbes, Catherine Scipione; Martin, Gael M.; Wright, Jill - 2003
Persistent link: https://www.econbiz.de/10001854495
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Parametric pricing of higher order moments in S&P500 options
Lim, Guay C.; Martin, Gael M.; Martin, Vance - In: Journal of applied econometrics 20 (2005) 3, pp. 377-404
Persistent link: https://www.econbiz.de/10002807211
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Assessing the impact of market microstructure noise and random jumps on the relative forecasting performance of option-implied and returns-based volatility
Martin, Gael M.; Reidy, Andrew; Wright, Jill - 2006
Persistent link: https://www.econbiz.de/10003365312