Bayesian Parameter Inference for Models of the Black and Scholes Type

In this paper, we describe a general method for constructing the posterior distribution of the mean and volatility of the return of an asset satisfying dS=SdX for some simple models of X. Our framework takes as inputs the prior distributions of the parameters of the stochastic process followed by th...

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Detalles Bibliográficos
Autores Principales: Gzyl, H., Ter Horst, E., Malone, S.
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2020
Acceso en línea: