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...

Descripción completa

Detalles Bibliográficos
Autores Principales: Gzyl, H., Ter Horst, E., Malone, S.
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2020
Materias:
Acceso en línea:http://hdl.handle.net/1992/46789