Implicit Bayesian Inference Using Option Prices

DOI10.1111/j.1467-9892.2005.00410.xzbMath1087.62119OpenAlexW2121622547MaRDI QIDQ5467612

Vance L. Martin, Catherine S. Forbes, Gael M. Martin

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2000/wp5-00.pdf

zbMATH Keywords

GARCH processskew-normal distributionEuropean call optionspot price process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Economic time series analysis (91B84)

Related Items (4)

Bayesian option pricing using mixed normal heteroskedasticity models ⋮ Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter ⋮ Multi-criteria classification for pricing European options ⋮ The numerical simulation of Quanto option prices using Bayesian statistical methods

Cites Work

• The Pricing of Options and Corporate Liabilities
• ARCH modeling in finance. A review of the theory and empirical evidence
• Long-term equity anticipation securities and stock market volatility dynamics
• The dynamics of stochastic volatility: evidence from underlying and options markets
• Generalized autoregressive conditional heteroscedasticity
• Bayesian analysis of contingent claim model error
• Post-'87 crash fears in the S\&P 500 futures option market
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