Bayesian option pricing using mixed normal heteroskedasticity models

Jeroen Rombouts and Lars Stentoft

No 2009013, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Keywords: Bayesian inference; option pricing; finite mixture models; out-of-sample prediction; GARCH models (search for similar items in EconPapers)
JEL-codes: C11 C15 C22 G13 (search for similar items in EconPapers)
Date: 2009-03-01
New Economics Papers: this item is included in nep-ecm, nep-for and nep-ore
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Bayesian option pricing using mixed normal heteroskedasticity models (2014)
Working Paper: Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models (2009)
Working Paper: Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models (2009)
Working Paper: Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2009013

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