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

Journal of Economic Dynamics and Control

Volumn 27, Issue 5, 2003, Pages 717-769

  Guidolin, Massimo ^a   Timmermann, Allan ^b  

^a UNIVERSITY OF VIRGINIA   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0037332717     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(01)00069-0     Document Type: Article

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