The integrated volatility implied by option prices, a Bayesian approach

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The integrated volatility implied by option prices, a Bayesian approach. / Kaila, Ruth.

Espoo, 2008. (Helsinki University of Technology, Institute of Mathematics, Research Reports; No. A545).

Research output: Working paperProfessional

Harvard

Kaila, R 2008 'The integrated volatility implied by option prices, a Bayesian approach' Helsinki University of Technology, Institute of Mathematics, Research Reports, no. A545, Espoo.

APA

Kaila, R. (2008). The integrated volatility implied by option prices, a Bayesian approach. (Helsinki University of Technology, Institute of Mathematics, Research Reports; No. A545). Espoo.

Vancouver

Kaila R. The integrated volatility implied by option prices, a Bayesian approach. Espoo. 2008. (Helsinki University of Technology, Institute of Mathematics, Research Reports; A545).

Author

Kaila, Ruth. / The integrated volatility implied by option prices, a Bayesian approach. Espoo, 2008. (Helsinki University of Technology, Institute of Mathematics, Research Reports; A545).

Bibtex - Download

@techreport{79b5e2d4fe9f4096aba78df7ecec28c1,
title = "The integrated volatility implied by option prices, a Bayesian approach",
keywords = "Bayesian inference, hypermodel, implied integrated volatility, MCMC sampling, quadratic variation, stochastic volatility, Bayesian inference, hypermodel, implied integrated volatility, MCMC sampling, quadratic variation, stochastic volatility, Bayesian inference, hypermodel, implied integrated volatility, MCMC sampling, quadratic variation, stochastic volatility",
author = "Ruth Kaila",
year = "2008",
language = "English",
isbn = "978-951-22-9316-2",
series = "Helsinki University of Technology, Institute of Mathematics, Research Reports",
number = "A545",
type = "WorkingPaper",

}

RIS - Download

TY - UNPB

T1 - The integrated volatility implied by option prices, a Bayesian approach

AU - Kaila, Ruth

PY - 2008

Y1 - 2008

KW - Bayesian inference

KW - hypermodel

KW - implied integrated volatility

KW - MCMC sampling

KW - quadratic variation

KW - stochastic volatility

KW - Bayesian inference

KW - hypermodel

KW - implied integrated volatility

KW - MCMC sampling

KW - quadratic variation

KW - stochastic volatility

KW - Bayesian inference

KW - hypermodel

KW - implied integrated volatility

KW - MCMC sampling

KW - quadratic variation

KW - stochastic volatility

M3 - Working paper

SN - 978-951-22-9316-2

T3 - Helsinki University of Technology, Institute of Mathematics, Research Reports

BT - The integrated volatility implied by option prices, a Bayesian approach

CY - Espoo

ER -

ID: 3940131