Bayesian Inference on Discretely Sampled Itô Processes

Maciej Kostrzewski ()
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Maciej Kostrzewski: AGH University of Science and Technology Kraków, Poland

Chapter 5 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2006, vol. 2, pp 81-96 from University of Lodz

Abstract: Chapter 5 presents an application of Bayesian inference of Itô processes in pricing derivatives. The chapter includes the Markov Chain Monte Carlo (MCMC) methodology in numerical exercises.

Keywords: Bayesian econometric; Stochastic processes; Derivatives pricing; Monte Carlo method (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2006
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