114
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

On nonparametric predictive inference for asset and European option trading in the binomial tree model

, &
Pages 1678-1691 | Received 16 Aug 2017, Accepted 10 Jul 2019, Published online: 05 Aug 2019

References

  • Aboalkhair, A. (2012). Nonparametric predictive inference for system reliability (PhD thesis). University of Durham, Durham.
  • Augustin, T., & Coolen, F. P. A. (2004). Nonparametric predictive inference and interval probability. Journal of Statistical Planning and Inference, 124(2), 251–272. doi: 10.1016/j.jspi.2003.07.003
  • Augustin, T., Coolen, F. P. A., de Cooman, G., & Troffaes, M. C. M. (2014). Introduction to imprecise probabilities. Chichester: Wiley.
  • Baker, R. M., Coolen-Maturi, T., & Coolen, F. P. A. (2017). Nonparametric predictive inference for stock returns. Journal of Applied Statistics, 44(8), 1333–1349. doi: 10.1080/02664763.2016.1204429
  • Chen, J. (2018). Contributions to nonparametric predictive inference for Bernoulli data with applications in finance( (PhD thesis). University of Durham, Durham.
  • Coolen, F. P. A. (1998). Low structure imprecise predictive inference for Bayes’ problem. Statistics & Probability Letters, 36, 349–357. doi: 10.1016/S0167-7152(97)00081-3
  • Coolen, F. P. A. (2006). On nonparametric predictive inference and objective Bayesianism. Journal of Logic, Language and Information, 15(1–2), 21–47. doi: 10.1007/s10849-005-9005-7
  • Coolen, F. P. A. (2011). Nonparametric predictive inference. In M. Lovric (Ed.), International encyclopedia of statistical science (pp. 968–970). Berlin: Springer.
  • Coolen-Maturi, T., Coolen-Schrijner, P., & Coolen, F. P. A. (2012). Nonparametric predictive Inference for diagnostic accuracy. Journal of Statistical Planning and Inference, 142(5), 1141–1150. doi: 10.1016/j.jspi.2011.11.015
  • Coolen-Schrijner, P., Shaw, S. C., & Coolen, F. P. A. (2009). Opportunity-based age replacement with a one-cycle criterion. Journal of the Operational Research Society, 60(10), 1428–1435. doi: 10.1057/jors.2008.99
  • Cox, J. C., Ross, S. A., & Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7(3), 229–235. doi: 10.1016/0304-405X(79)90015-1
  • He, T., Coolen, F. P. A., & Coolen-Maturi, T. (2019). Nonparametric predictive inference for European option pricing based on binomial tree model. Journal of the Operational Research Society. doi: 10.1080/01605682.2018.1495997
  • Hill, B. M. (1968). Posterior distribution of percentiles: Bayes’ theorem for sampling from a population. Journal of the American Statistical Association, 63, 677–691. doi: 10.1080/01621459.1968.11009286
  • Masegosa, A. R., & Moral, S. (2014). Imprecise probability models for learning multinomial distributions from data. Applications to learning credal networks. International Journal of Approximate Reasoning, 55(7), 1548–1569. doi: 10.1016/j.ijar.2013.09.019
  • Shafer, G., & Vovk, V. (2001). Probability and finance: It’s only a game! New York, NY: Wiley.
  • Vicig, P. (2014). Financial risk measurement. In T. Augustin, et al. (Eds), Introduction to imprecise probabilities (Chapter 12, pp. 279–290). Wiley. doi: 10.1002/9781118763117.ch12
  • Walley, P. (1991). Statistical reasoning with imprecise probabilities. London: Chapman and Hall.
  • Weichselberger, K. (2000). The theory of interval-probability as a unifying concept for uncertainty. International Journal of Approximate Reasoning, 24(2–3), 149–170. doi: 10.1016/S0888-613X(00)00032-3
  • Weichselberger, K. (2001). Elementare Grundbegriffe einer allgemeineren Wahrscheinlichkeitsrechnung I: Intervallwahrscheinlichkeit als umfassendes Konzept. Heidelberg: Physica-Verlag.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.