Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models

Author: Ho Shu Wing   Lee Alan   Marsden Alastair  

Publisher: MDPI

E-ISSN: 1911-8074|4|1|74-96

ISSN: 1911-8074

Source: Journal of Risk and Financial Management, Vol.4, Iss.1, 2011-12, pp. : 74-96

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Abstract