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dc.contributor.authorDarsinos, Theofanisen_GB
dc.contributor.authorSatchell, Stephen E.en_GB
dc.date.accessioned2004-06-16T16:04:48Z
dc.date.available2004-06-16T16:04:48Z
dc.date.created2001-01en_GB
dc.date.issued2004-06-16T16:04:48Z
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/281
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/281
dc.description.abstractThis paper investigates the statistical properties of the Black-Scholes option price under a Bayesian approach. We incorporate randomness, both in the price process and in volatility, to derive the prior and posterior densities of a European call option. Expressions for the density of the option price conditional on the sample estimates of volatility and on the asset price respectively, are also derived. Numerical results are presented to compare how the dispersion of the option price changes in the transition from prior to posterior information, where information may be price or sample variance or both.en_GB
dc.format.extent323403 bytes
dc.format.mimetypeapplication/pdfen_GB
dc.format.mimetypeapplication/pdf
dc.language.isoen_GB
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.titleBayesian Analysis of the Black-Scholes Option Priceen_GB
dc.typeWorking Paperen
dc.identifier.doi10.17863/CAM.5443


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