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Autor
Pipień Mateusz (Kolegium Gospodarki i Administracji Publicznej)
Tytuł
Zastosowanie wnioskowania bayesowskiego do wyceny opcji
Bayesian Inference: Application to Option Pricing
Źródło
Zeszyty Naukowe / Akademia Ekonomiczna w Krakowie, 2003, nr 628, s. 71-85, bibliogr. 15 poz.
Słowa kluczowe
Wnioskowanie bayesowskie, Wycena opcji, Modelowanie ekonometryczne, Szeregi czasowe
Bayesian inference, Options pricing, Econometric modeling, Time-series
Uwagi
summ.
Abstrakt
Zadaniem opracowania jest zastosowanie jednego z procesów GARCH z asymetriami do modelowania zmienności stóp zmian dolara amerykańskiego i do wyceny europejskiej opcji kupna wystawianej na ten kurs.

In this paper we present the results of application of Bayesian inference in option pricing. Bayesian approach to estimation and forecasting yields natural, probabilistic, and non-asymptotic rule for modelling Statistical uncertainty. The GARCH(1, 1) model with asymmetries was applied for the daily logarithmic growth rates of PLN/DEM exchange rates in order to model and forecast daily volatility and to price the European call option for this currency. We present predictive densities of the volatility parameter as well as predictive densities of the Black and Scholes formula for the price of the option. We also present predictive distributions of payoff functions related to the priced options. The empirical results confirm - presented previously in the literature - usefulness of Bayesian inference in modelling uncertainty about price of an option and payoff function related to it. Bayesian GARCH(1, 1) model with asymmetries yield predictive density of the Black and Scholes formula very dispersed, but the predictive medians if this distributions forecasted very well the true (quote) prices of considered European call options. The predictive distribution of the related payoff function reflects significant uncertainty about future payoff. Very low value of posterior probabilities of realisations of considered options together with very flat density of the Conditional (with respect to the case when the option is realised) predictive density of payoff function show difficulties with alternative option pricing method through the future payoff forecast. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Pełny tekst
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Bibliografia
Pokaż
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Cytowane przez
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ISSN
0208-7944
Język
pol
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