BAYESIAN INFERENCE, PRIOR INFORMATION ON VOLATILITY, AND OPTION PRICING: A MAXIMUM ENTROPY APPROACH

被引：6

作者：

Venegas-Martinez, Francisco ^{[1
]}

机构：

[1] Ctr Invest Finanzas Tecnol Monterrey, Campus Ciudad Mexico,Cerro Vigia 15,Col.Campestre, Mexico City 04200, DF, Mexico

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2005年 / 8卷 / 01期

关键词：

Bayesian Inference; option pricing; stochastic volatility; numerical methods;

D O I：

10.1142/S0219024905002755

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper develops a Bayesian model for pricing derivative securities with prior information on volatility. Prior information is given in terms of expected values of levels and rates of precision: the inverse of variance. We provide several approximate formulas, for valuing European call options, on the basis of asymptotic and polynomial approximations of Bessel functions.

引用

页码：1 / 12

页数：12

共 38 条

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