Browsing Acta Universitatis Lodziensis. Folia Oeconomica nr 177/2004 by Subject "financial econometrics"

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Bayesian Pricing of an European Call Option Using a GARCH Model with Asymmetries

Osiewalski, Jacek; Pipień, Mateusz (Wydawnictwo Uniwersytetu Łódzkiego, 2004)

In this paper option pricing is treated as an application of Bayesian predictive analysis. The distribution of the discounted payoff, induced by the predictive density of future observables, is the basis for direct option ...