A new class of Bayesian semi-parametric models with applications to option pricing
نویسندگان
چکیده
منابع مشابه
Non-parametric option pricing models
The goal of non-parametric option pricing models is to price and risk mange financial derivatives in a model-free approach. Standard option pricing models need to assume a certain dynamics for the underlying. Model parameters are calibrated (or bootstrapped) to match certain conditions. These can be an exact fit to some market instruments whenever possible, a best fit otherwise, or some risk mi...
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this paper is a translation of a chapter of the hook written by jonathan e. ingersoll jr. the farsi translation will he of great help to iranian students studying option pricing models.
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2013
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2012.712212