Option pricing under model and parameter uncertainty using predictive densities

Statistics and Computing

Volumn 12, Issue 1, 2002, Pages 37-44

  Bunnin, F O ^a   Guo, Y ^a   Ren, Y ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Bayesian model averaging; Model and parameter uncertainty; Option pricing; Sampling importance resampling

Indexed keywords

EID: 0141456250     PISSN: 09603174     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1013116204872     Document Type: Article

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