BAYESIAN INFERENCE, PRIOR INFORMATION ON VOLATILITY, AND OPTION PRICING: A MAXIMUM ENTROPY APPROACH

被引：6
|
作者：
Venegas-Martinez, Francisco [1 ]
机构：
[1] Ctr Invest Finanzas Tecnol Monterrey, Campus Ciudad Mexico,Cerro Vigia 15,Col.Campestre, Mexico City 04200, DF, Mexico
来源：
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2005年 / 8卷 / 01期
关键词：
Bayesian Inference; option pricing; stochastic volatility; numerical methods;
D O I：
10.1142/S0219024905002755
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper develops a Bayesian model for pricing derivative securities with prior information on volatility. Prior information is given in terms of expected values of levels and rates of precision: the inverse of variance. We provide several approximate formulas, for valuing European call options, on the basis of asymptotic and polynomial approximations of Bessel functions.
引用
收藏
页码：1 / 12
页数：12
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