The numerical simulation of Quanto option prices using Bayesian statistical methods

DOI10.1016/j.physa.2020.125629OpenAlexW3110854570MaRDI QIDQ2066039

Yanyan Li

Publication date: 13 January 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.04075

zbMATH Keywords

correlationMarkov chain Monte Carloexchange ratequanto optionBayesian statistical inferenceforeign asset

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• The Pricing of Options and Corporate Liabilities
• The pricing of Quanto options under dynamic correlation
• Bayesian computation and stochastic systems. With comments and reply.
• Bayesian option pricing using mixed normal heteroskedasticity models
• Bayesian analysis of contingent claim model error
• Bayesian statistical inference for European options with stock liquidity
• Quanto option pricing in the presence of fat tails and asymmetric dependence
• A Bayesian Framework for Quantifying Uncertainty in Stochastic Simulation
• A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Estimating a Product of Means: Bayesian Analysis with Reference Priors
• Implicit Bayesian Inference Using Option Prices
• Unnamed Item

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