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An extension of the Black-Scholes model of security valuation

✍ Scribed by Darrell Duffie


Book ID
113181058
Publisher
Elsevier Science
Year
1988
Tongue
English
Weight
558 KB
Volume
46
Category
Article
ISSN
0022-0531

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## Abstract In this paper, we describe a general method for constructing the posterior distribution of the mean and volatility of the return of an asset satisfying d__S__=__S__d__X__ for some simple models of __X__. Our framework takes as inputs the prior distributions of the parameters of the stoc