Option pricing under model and parameter uncertainty using predictive densities

DOI10.1023/A:1013116204872zbMath1247.91181OpenAlexW1529812027MaRDI QIDQ451231

Yi Ke Guo, Yu He Ren, F. O. Bunnin

Publication date: 23 September 2012

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1013116204872

zbMATH Keywords

option pricingBayesian model averagingmodel and parameter uncertaintysampling-importance resampling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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