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DOI10.1080/14697688.2014.951678zbMath1422.91689arXiv1401.5666OpenAlexW3037482817MaRDI QIDQ5247922

L. C. G. Rogers, Moritz Duembgen

Publication date: 27 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.5666

zbMATH Keywords

Bayesian modelsderivative securities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Robust deep hedging ⋮ Uncertainty Quantification of Derivative Instruments ⋮ Regime switching affine processes with applications to finance

Cites Work

• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• Option pricing under model and parameter uncertainty using predictive densities
• Option prices under Bayesian learning: implied volatility dynamics and predictive densities
• Bayesian analysis of contingent claim model error
• Sequential Monte Carlo Methods in Practice
• THE GARCH OPTION PRICING MODEL
• Optimal quadratic quantization for numerics: the Gaussian case
• Stochastic Volatility for Lévy Processes
• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Option pricing when underlying stock returns are discontinuous

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