The integrated volatility implied by option prices, a Bayesian approach

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationEspoo
Publication statusPublished - 2008
MoE publication typeD4 Published development or research report or study

Publication series

NameHelsinki University of Technology, Institute of Mathematics, Research Reports
ISSN (Print)1797-5867


  • Bayesian inference
  • hypermodel
  • implied integrated volatility
  • MCMC sampling
  • quadratic variation
  • stochastic volatility

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