Bayesian option pricing using mixed normal heteroskedasticity models

DOI10.1016/j.csda.2013.06.023zbMath1506.62157OpenAlexW2165124641MaRDI QIDQ1623554

Jeroen V. K. Rombouts, Lars Stentoft

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://cirano.qc.ca/files/publications/2009s-19.pdf

zbMATH Keywords

option pricingBayesian inferencefinite mixture models

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Bayesian statistical inference for European options with stock liquidity ⋮ Numerical pricing of exchange option with stock liquidity under Bayesian statistical method ⋮ A long memory model with normal mixture GARCH ⋮ The numerical simulation of Quanto option prices using Bayesian statistical methods ⋮ Options in markets with unknown dynamics

Uses Software

• FinTS

Cites Work

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