Geodesic
Limits of Bayesian decision related quantities of binomial asset price models
Kybernetika, Tome 48 (2012) no. 4, pp. 750-767.

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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.
Classification : 62C10, 91B25, 94A17
Keywords: Bayesian decisions; power divergences; Cox--Ross--Rubinstein binomial asset price models 
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     author = {Stummer, Wolfgang and Lao, Wei},
     title = {Limits of {Bayesian} decision related quantities of binomial asset price models},
     journal = {Kybernetika},
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     year = {2012},
     mrnumber = {3013397},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2012__48_4_a6/}
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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/