Estimación clásica y bayesiana de la volatilidad en el modelo de Black-Scholes
[Classical and Bayesian estimation of volatility in the Black-Scholes model]
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DOI: https://doi.org/10.46661/revmetodoscuanteconempresa.5002
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More about this item
Keywords
ecuación diferencial estocástica; distribución previa; distribución posterior; estimación; volatilidad; bootstrap; valores extremos; hiperparámetros; elicitación; stochastic differential equation; previous distribution; posterior distribution; estimation; volatility; extreme values; hyperparameters; elicitation;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G1 - Financial Economics - - General Financial Markets
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