Bayesian analysis of contingent claim model error Econometric methods for derivative securities and risk management

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Bibliographic Details
Published inJournal of econometrics Vol. 94; no. 1-2; pp. 145 - 180
Main Authors JACQUIER, E, JARROW, R
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier 2000
Subjects
Applications
Exact sciences and technology
Insurance, economics, finance
Mathematical foundations
Mathematics
Multivariate analysis
Probability and statistics
Sciences and techniques of general use
Statistics
Bayes estimation
Monte Carlo method
Black Scholes model
Non parametric estimation
Markov chain Monte Carlo estimation
Convergence
Heteroscedasticity
Markov chain
Nonparametric model
Price
A priori estimation
Maximum likelihood
Posterior distribution
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ISSN:0304-4076
1872-6895