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cs.CE2007
Assessment and Propagation of Input Uncertainty in Tree-based Option Pricing Models
Henryk Gzyl, German Molina, Enrique ter Horst
This paper aims to provide a practical example on the assessment and propagation of input uncertainty for option pricing when using tree-based methods. Input uncertainty is propaga…
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…