Estimate nothing
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Publication:5247922
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
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
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- 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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