Dynamic Calibration Based on the Black-Scholes Option Pricing Model by Bayesian Method

To improve the shortcomings of the classic Black-Scholes model, mainly on the constant volatility and normal distribution assumptions, this paper investigates the dynamic calibration method, which makes the expected return rate, volatility and interest rate become data-driven and time dependent. Bas...

وصف كامل

التفاصيل البيبلوغرافية
الحاوية / القاعدة:IEEE Access
المؤلفون الرئيسيون: Norris M. Mulenga, Yu Fu
التنسيق: مقال
اللغة:الإنجليزية
منشور في: IEEE 2024-01-01
الموضوعات:
Bayesian method
dynamic calibration
Black-Scholes model
Markov Chain Monte Carlo
volatility surface
leptokurtosis
الوصول للمادة أونلاين:https://ieeexplore.ieee.org/document/10649550/

الانترنت

https://ieeexplore.ieee.org/document/10649550/

مواد مشابهة