2004, 2001, English, Article, Working paper edition: Bayesian Analysis of the Black-Scholes Option Price Darsinos, Theofanis; Satchell, Stephen E.

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Physical Description
  • 323403 bytes, application/​pdf
  • Working Paper
Published
  • 2004-06-16T16:04:48Z
  • 2001-01
Language
  • English

Edition details

Title
  • Bayesian Analysis of the Black-Scholes Option Price
Author
  • Darsinos, Theofanis
  • Satchell, Stephen E.
Published
  • 2004-06-16T16:04:48Z
  • 2001-01
Physical Description
  • 323403 bytes, application/​pdf
  • Working Paper
Notes
  • This paper investigates the statistical properties of the Black-Scholes option price under a Bayesian approach. We incorporate randomness, both in the price process and in volatility, to derive the prior and posterior densities of a European call option. Expressions for the density of the option price conditional on the sample estimates of volatility and on the asset price respectively, are also derived. Numerical results are presented to compare how the dispersion of the option price changes in the transition from prior to posterior information, where information may be price or sample variance or both.
Language
  • English
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