Pricing australian S&P200 options: A bayesian approach based on generalized distributional forms

Australian and New Zealand Journal of Statistics

Volumn 47, Issue 1, 2005, Pages 101-117

  Flynn, David B ^a   Grose, Simone D ^a   Martin, Gael M ^a   Martin, Vance L ^a,b  

^a MONASH UNIVERSITY   (Australia)

^b UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Bayesian option pricing; Implied volatility smiles; Leptokurtosis; Option price prediction; Skewness; Time varying volatility

Indexed keywords

EID: 16244402978     PISSN: 13691473     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-842X.2005.00375.x     Document Type: Article

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