1 citations · 1 across the 3 of their papers we have counts for
3 papers
A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities
Roberto Casarin, Fabrizio Leisen, German Molina +1
We build on the work in Fackler and King 1990, and propose a more general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set…
Stochastic Volatility Models Including Open, Close, High and Low Prices
Abel Rodriguez, Henryk Gzyl, German Molina +1
Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that perio…
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…