2001•SSRN Electronic JournalOpen access

Option Prices Under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities

Massimo Guidolin, Allan Timmermann

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Key concepts: Econometrics, Volatility (finance), Bayesian probability, Implied volatility, Economics, SABR volatility model, Volatility smile, Financial economics

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Option Prices Under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities — Research Paper | ScholarLens