2 papers
q-fin.PR2008
Measuring expectations in options markets: An application to the SP500 index
Abel Rodriguez, Enrique ter Horst
Extracting market expectations has always been an important issue when making national policies and investment decisions in financial markets. In option markets, the most popular w…
cs.CE2006
Towards a Bayesian framework for option pricing
Henryk Gzyl, Enrique ter Horst, Samuel Malone
In this paper, we describe a general method for constructing the posterior distribution of an option price. Our framework takes as inputs the prior distributions of the parameters…