Bayesian Inference for Optimal Risk Hedging Strategy Using Put Options With Stock Liquidity.
Rui GaoYaqiong LiYanfei BaiShanlan HongPublished in: IEEE Access (2019)
Keyphrases
- bayesian inference
- option pricing
- financial markets
- probabilistic model
- prior information
- stock price
- black scholes
- risk management
- convertible bonds
- optimal strategy
- investment strategies
- bayesian model
- statistical inference
- stock market
- variational inference
- gibbs sampler
- hyperparameters
- weighted model counting
- portfolio optimization
- variational bayes
- hierarchical bayesian
- financial crisis
- bayesian models
- transaction costs
- stock exchange
- closed form
- portfolio selection
- optimal solution