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Bayesian analysis of contingent claim model error

Citations

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Cited by:

  1. 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.
  2. Samuel N. Cohen & Martin Tegn'er, 2018. "European Option Pricing with Stochastic Volatility models under Parameter Uncertainty," Papers 1807.03882, arXiv.org.
  3. 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).
  4. Lazar, Emese & Qi, Shuyuan, 2022. "Model risk in the over-the-counter market," European Journal of Operational Research, Elsevier, vol. 298(2), pages 769-784.
  5. Gael M. Martin & Catherine S. Forbes & Vance L. Martin, 2005. "Implicit Bayesian Inference Using Option Prices," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(3), pages 437-462, May.
  6. V. L. Martin & G. M. Martin & G. C. Lim, 2005. "Parametric pricing of higher order moments in S&P500 options," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 377-404.
  7. Moritz Duembgen & L. C. G. Rogers, 2014. "Estimate nothing," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2065-2072, December.
  8. Gurupdesh S. Pandher, 2007. "Regression-based modeling of market option prices: with application to S&P500 options," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(7), pages 475-496.
  9. Alexander David & Pietro Veronesi, 1998. "Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities," CRSP working papers 485, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  10. Nikkinen, Jussi, 2003. "Normality tests of option-implied risk-neutral densities: evidence from the small Finnish market," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 99-116.
  11. Emese Lazar & Shuyuan Qi & Radu Tunaru, 2020. "Measures of Model Risk in Continuous-time Finance Models," Papers 2010.08113, arXiv.org, revised Oct 2020.
  12. Christoffersen, Peter & Jacobs, Kris, 2004. "The importance of the loss function in option valuation," Journal of Financial Economics, Elsevier, vol. 72(2), pages 291-318, May.
  13. Cheng, Ai-ru (Meg) & Gallant, A. Ronald & Ji, Chuanshu & Lee, Beom S., 2008. "A Gaussian approximation scheme for computation of option prices in stochastic volatility models," Journal of Econometrics, Elsevier, vol. 146(1), pages 44-58, September.
  14. Catherine S. Forbes & Gael M. Martin & Jill Wright, 2007. "Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 387-418.
  15. Madan, Dilip B., 2014. "Modeling and monitoring risk acceptability in markets: The case of the credit default swap market," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 63-73.
  16. Andreas D. Christopoulos & Robert A. Jarrow & Yildiray Yildirim, 2008. "Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(3), pages 441-498, September.
  17. Mrázek, Milan & Pospíšil, Jan & Sobotka, Tomáš, 2016. "On calibration of stochastic and fractional stochastic volatility models," European Journal of Operational Research, Elsevier, vol. 254(3), pages 1036-1046.
  18. Anthony D. Hall & Paul Kofman & Steve Manaster, 2001. "Migration of Price Discovery With Constrained Futures Markets," Research Paper Series 70, Quantitative Finance Research Centre, University of Technology, Sydney.
  19. Gao, Rui & Li, Yaqiong & Lin, Lisha, 2019. "Bayesian statistical inference for European options with stock liquidity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 518(C), pages 312-322.
  20. Jeimy Lorena Martínez Arroyo & Nini Johana Marín Rodríguez, 2021. "Relación dinámica entre los Credit Default Swaps y la deuda pública. Análisis en el contexto latinoamericano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 40(83), pages 583-608, August.
  21. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, August.
  22. Mehrdoust, Farshid & Noorani, Idin & Hamdi, Abdelouahed, 2023. "Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 204(C), pages 660-678.
  23. Yasushi Ota & Yu Jiang & Daiki Maki, 2022. "Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach," Papers 2205.11012, arXiv.org.
  24. Martin Tegner & Stephen Roberts, 2021. "A Bayesian take on option pricing with Gaussian processes," Papers 2112.03718, arXiv.org.
  25. Chung, Huimin & Lee, Chin-Shen & Wu, Soushan, 2002. "The effects of model errors and market imperfections on financial institutions writing derivative warrants: Simulation evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 10(1), pages 55-75, January.
  26. Bams, Dennis & Schotman, Peter C., 2003. "Direct estimation of the risk neutral factor dynamics of Gaussian term structure models," Journal of Econometrics, Elsevier, vol. 117(1), pages 179-206, November.
  27. Shu Wing Ho & Alan Lee & Alastair Marsden, 2011. "Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models," JRFM, MDPI, vol. 4(1), pages 1-23, December.
  28. Marcos Escobar & Sven Panz, 2016. "A Note on the Impact of Parameter Uncertainty on Barrier Derivatives," Risks, MDPI, vol. 4(4), pages 1-25, September.
  29. Lisha Lin & Yaqiong Li & Rui Gao & Jianhong Wu, 2019. "The Numerical Simulation of Quanto Option Prices Using Bayesian Statistical Methods," Papers 1910.04075, arXiv.org.
  30. Tunaru, Radu & Zheng, Teng, 2017. "Parameter estimation risk in asset pricing and risk management: A Bayesian approach," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 80-93.
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