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Discrete-time stochastic volatility process in option pricing : a generalisation of the Amin-Ng and the Black-Scholes models
Pajor, Anna - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 189-211
Persistent link: https://www.econbiz.de/10011742315
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Learning to smile : can rational learning explain predictable dynamics in the implied volatility surface?
Bernales, Alejandro; Guidolin, Massimo - 2015 - This version: December, 2015
Persistent link: https://www.econbiz.de/10011809309
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Bayesian option pricing using asymmetric GARCH
BAUWENS, LUC; LUBRANO, Michel - Center for Operations Research and Econometrics (CORE), … - 1997
This paper shows how one can compute option prices from a Bayesian inference viewpoint, using an econometric model for …
Persistent link: https://www.econbiz.de/10005008451
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Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information
Darsinos, T.; Satchell, S.E. - Faculty of Economics, University of Cambridge - 2001
Bayesian statistical methods are naturally oriented towards pooling in a rigorous way information from separate sources … volatility or options prices. We develop a formal Bayesian framework where we can merge the backward looking information as … forecasting options prices out of sample (i.e. one-day ahead) our Bayesian estimators outperform standard forecasts that use …
Persistent link: https://www.econbiz.de/10005783847
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Learning for infinitely divisible GARCH models in option pricing
Zhu, Fumin; Bianchi, Michele Leonardo; Kim, Young Shin; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 3, pp. 35-62
Persistent link: https://www.econbiz.de/10012594154