A new class of Bayesian semi-parametric models with applications to option pricing

Marcin Kacperczyk, Paul Damien and Stephen G. Walker

Quantitative Finance, 2013, vol. 13, issue 6, 967-980

Abstract: This paper develops a new family of Bayesian semi-parametric models. A particular member of this family is used to model option prices with the aim of improving out-of-sample predictions. A detailed empirical analysis is made for European index call and put options to illustrate the ideas.

Date: 2013
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DOI: 10.1080/14697688.2012.712212

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