PRICING AUSTRALIAN S&P200 OPTIONS: A BAYESIAN APPROACH BASED ON GENERALIZED DISTRIBUTIONAL FORMS

DOI10.1111/j.1467-842X.2005.00375.xzbMath1108.62109OpenAlexW1972640632MaRDI QIDQ3429852

Simone D. Grose, Gael M. Martin, David B. Flynn, Vance L. Martin

Publication date: 20 March 2007

Published in: Australian <html_ent glyph="@amp;" ascii="&amp;"/> New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.2005.00375.x

zbMATH Keywords

skewnessleptokurtosistime-varying volatilityimplied volatility smilesBayesian option pricingoption price prediction

Mathematics Subject Classification ID

Related Items (3)

Quasi-optimal Bayesian procedures of many hypotheses testing ⋮ Bayesian sample size determination for case-control studies with misclassification ⋮ Options in markets with unknown dynamics

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