The integrated volatility implied by option prices, a Bayesian approach

Research output: Working paperProfessional

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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
No.A545
ISSN (Print)1797-5867

    Research areas

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

ID: 3940131