Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
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- Rombouts, Jeroen V.K. & Stentoft, Lars, 2014. "Bayesian option pricing using mixed normal heteroskedasticity models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 588-605.
- Jeroen Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CIRANO Working Papers 2009s-19, CIRANO.
- Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
- ROMBOUTS, Jeroen V.K. & STENTOFT, Lars, 2009. "Bayesian option pricing using mixed normal heteroskedasticity models," LIDAM Discussion Papers CORE 2009013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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Citations
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Cited by:
- Haas Markus, 2010. "Skew-Normal Mixture and Markov-Switching GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-56, September.
- Jean-Guy Simonato & Lars Stentoft, 2015. "Which pricing approach for options under GARCH with non-normal innovations?," CREATES Research Papers 2015-32, Department of Economics and Business Economics, Aarhus University.
- Rachid Belhachemi, 2024. "Option Valuation with Conditional Heteroskedastic Hidden Truncation Models," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2585-2601, June.
- Lin, Lisha & Li, Yaqiong & Gao, Rui & Wu, Jianhong, 2021. "The numerical simulation of Quanto option prices using Bayesian statistical methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 567(C).
- Hanno Gottschalk & Elpida Nizami & Marius Schubert, 2016. "Option Pricing in Markets with Unknown Stochastic Dynamics," Papers 1602.04848, arXiv.org, revised Jan 2017.
- Rombouts, Jeroen V.K. & Stentoft, Lars, 2015.
"Option pricing with asymmetric heteroskedastic normal mixture models,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 635-650.
- Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models," CREATES Research Papers 2010-44, Department of Economics and Business Economics, Aarhus University.
- ROMBOUTS, Jeroen V. K. & STENTOFT, Lars, 2010. "Option pricing with asymmetric heteroskedastic normal mixture models," LIDAM Discussion Papers CORE 2010049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jeroen Rombouts & Lars Stentoft, 2010. "Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models," CIRANO Working Papers 2010s-38, CIRANO.
- Rombouts, Jeroen V.K. & Stentoft, Lars, 2011.
"Multivariate option pricing with time varying volatility and correlations,"
Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2267-2281, September.
- Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing with Time Varying Volatility and Correlations," Cahiers de recherche 1020, CIRPEE.
- ROMBOUTS, Jeroen J. K & STENTOFT, Lars, 2010. "Multivariate option pricing with time varying volatility and correlations," LIDAM Discussion Papers CORE 2010020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing with Time Varying Volatility and Correlations," CREATES Research Papers 2010-19, Department of Economics and Business Economics, Aarhus University.
- Jeroen Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing With Time Varying Volatility and Correlations," CIRANO Working Papers 2010s-23, CIRANO.
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"Volatility Models,"
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More about this item
Keywords
Bayesian inference; option pricing; finite mixture models; out-of-sample prediction; GARCH models;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-09-26 (Econometrics)
- NEP-FOR-2009-09-26 (Forecasting)
- NEP-ORE-2009-09-26 (Operations Research)
Statistics
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