The integrated volatility implied by option prices, a Bayesian approach

Research output: Working paperProfessional


Research units


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

    Research areas

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

ID: 3940131