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...
Autores Principales: | , , |
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Formato: | Artículo (Article) |
Lenguaje: | Inglés (English) |
Publicado: |
2020
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Materias: | |
Acceso en línea: | http://hdl.handle.net/1992/46789 |