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Limits of Bayesian decision related quantities of binomial asset price models
Kybernetika, Tome 48 (2012) no. 4, pp. 750-767 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

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We study Bayesian decision making based on observations $\left(X_{n,t} : t\in\{0,\frac{T}{n},2\frac{T}{n},\ldots,n\frac{T}{n}\}\right)$ ($T>0, n\in \mathbb{N}$) of the discrete-time price dynamics of a financial asset, when the hypothesis a special $n$-period binomial model and the alternative is a different $n$-period binomial model. As the observation gaps tend to zero (i. e. $n \rightarrow \infty$), we obtain the limits of the corresponding Bayes risk as well as of the related Hellinger integrals and power divergences. Furthermore, we also give an example for the “non-commutativity” between Bayesian statistical and optimal investment decisions.
We study Bayesian decision making based on observations $\left(X_{n,t} : t\in\{0,\frac{T}{n},2\frac{T}{n},\ldots,n\frac{T}{n}\}\right)$ ($T>0, n\in \mathbb{N}$) of the discrete-time price dynamics of a financial asset, when the hypothesis a special $n$-period binomial model and the alternative is a different $n$-period binomial model. As the observation gaps tend to zero (i. e. $n \rightarrow \infty$), we obtain the limits of the corresponding Bayes risk as well as of the related Hellinger integrals and power divergences. Furthermore, we also give an example for the “non-commutativity” between Bayesian statistical and optimal investment decisions.
Classification : 62C10, 91B25, 94A17
Keywords: Bayesian decisions; power divergences; Cox--Ross--Rubinstein binomial asset price models 
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Stummer, Wolfgang; Lao, Wei. Limits of Bayesian decision related quantities of binomial asset price models. Kybernetika, Tome 48 (2012) no. 4, pp. 750-767. http://geodesic.mathdoc.fr/item/KYB_2012_48_4_a6/

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