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

被引：3

作者：

Kacperczyk, Marcin ^{[1
]}

Damien, Paul ^{[2
]}

Walker, Stephen G. ^{[3
]}

机构：

[1] Stern Sch Business, Dept Finance, New York, NY 10012 USA

[2] Univ Texas Austin, McCombs Sch Business, Dept Informat Risk & Operat Management, Austin, TX 78712 USA

[3] Univ Kent, Inst Math Stat & Actuarial Sci, Canterbury CT2 7NF, Kent, England

来源：

QUANTITATIVE FINANCE | 2013年 / 13卷 / 06期

关键词：

Dirichlet process; Beta distribution; Scale mixtures; Options; STOCK RETURNS; VOLATILITY; DENSITY;

D O I：

10.1080/14697688.2012.712212

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：967 / 980

页数：14

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