Option pricing under model and parameter uncertainty using predictive densities
type: Item
instance of: scholarly article
title: Option pricing under model and parameter uncertainty using predictive densities
zbMATH Open document ID: 1247.91181
DOI: 10.1023/A:1013116204872
author: F. O. Bunnin
author: Yi Ke Guo
author: Yu He Ren
published in: Statistics and Computing
publication date: 2012-09-23T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6085387
zbMATH Keywords: option pricing
zbMATH Keywords: Bayesian model averaging
zbMATH Keywords: sampling-importance resampling
zbMATH Keywords: model and parameter uncertainty
MaRDI profile type: Publication
full work available at URL: a:1013116204872
OpenAlex ID: W1529812027
description: scientific article; zbMATH DE number 6085387