Bayesian analysis of the Black-Scholes option price-Reference-Cited by-同舟云学术

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Bayesian analysis of the Black-Scholes option price

Published:2007 Issue: Volume: Page:117-150
ISSN:
Container-title:Forecasting Expected Returns in the Financial Markets
language:
Short-container-title:

Author:

Darsinos Theo,Satchell Stephen

Publisher

Elsevier

Reference49 articles.

1. Bayesian option pricing using asymmetric GARCH models;Bauwens,2000

2. Studies of stock price volatilities;Black,1976

3. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

4. Generalised autoregressive conditional heteroscedasticity;Bollerslev;Journal of Econometrics,1986

5. The impact of variance estimation in option valuation models;Boyle;Journal of Financial Economics,1977

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. AlBERTino for stock price prediction: a Gibbs sampling approach;Information Sciences;2022-06

2. Option Pricing under Randomised GBM Models;Review of Business and Economics Studies;2021-11-22

3. Bayesian statistical inference for European options with stock liquidity;Physica A: Statistical Mechanics and its Applications;2019-03

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