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Chapter 12: Bayesian Calibration for Low Frequency Data
https://doi.org/10.1142/9789814663410_0012Cited by:0 (Source: Crossref)
Abstract:
The following sections are included:
Introduction
Problems in Pricing Derivatives for Assets with a Slow Business Time
Choosing the Correct Auxiliary Values
Empirical Exemplifications
A mean-reversion model with predictability in the drift
Data augmentation
MCMC Inference for the IPD model
Derivatives Pricing
Notes and Summary
