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Kacperczyk, 2003 - Google Patents

A new class of Bayesian semiparametric models with applications to option pricing

Kacperczyk, 2003

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Document ID
17500459068469782802
Author
Kacperczyk M
Publication year

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Snippet

Several studies incorporating estimated volatilities into option pricing formulas have appeared in the literature. However, the models described in these studies tend to perform quite poorly in out-of-sample tests. In particular, significant departures from the observed …
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