Implementación del Método de Metropolis–Hastings en una Aplicación Actuarial

Summary

Bayesian valuation study for Asian options using Metropolis–Hastings inference for geometric-Brownian-motion parameters and posterior simulation to propagate parameter uncertainty into option values.

Context

The project compares Bayesian and classical parameter estimates, examines MCMC diagnostics, and carries posterior uncertainty into an actuarial option-pricing application.

Main contributions

• Implements Metropolis–Hastings inference for drift and volatility under geometric Brownian motion.
• Compares Bayesian estimates with classical estimates and reports MCMC diagnostics.
• Propagates posterior parameter uncertainty into Asian-option valuation and risk analysis.