English, Article edition: BAYESIAN INFERENCE, PRIOR INFORMATION ON VOLATILITY, AND OPTION PRICING: A MAXIMUM ENTROPY APPROACH FRANCISCO VENEGAS-MARTÃNEZ

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Bookmark: http://trove.nla.gov.au/version/82827
Physical Description
  • article
Language
  • English

Edition details

Title
  • BAYESIAN INFERENCE, PRIOR INFORMATION ON VOLATILITY, AND OPTION PRICING: A MAXIMUM ENTROPY APPROACH
Author
  • FRANCISCO VENEGAS-MARTÃNEZ
Physical Description
  • article
Notes
  • 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.
  • Bayesian Inference, option pricing, stochastic volatility, numerical methods
  • RePEc:wsi:ijtafx:v:08:y:2005:i:01:p:1-12
Language
  • English
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