Option prices under Bayesian learning: implied volatility dynamics and predictive densities

Massimo Guidolin and Allan Timmermann

Journal of Economic Dynamics and Control, 2003, vol. 27, issue 5, 717-769

Date: 2003
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Working Paper: Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities (2001)
Working Paper: Option prices under Bayesian learning: implied volatility dynamics and predictive densities (2001)
Working Paper: Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:27:y:2003:i:5:p:717-769

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