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
收藏
页码：967 / 980
页数：14
相关论文
共 50 条
  • [41] A semi-parametric Bayesian model for semi-continuous longitudinal data
    Ren, Junting
    Tapert, Susan
    Fan, Chun Chieh
    Thompson, Wesley K.
    STATISTICS IN MEDICINE, 2022, 41 (13) : 2354 - 2374
  • [42] Efficiency of profile likelihood in semi-parametric models
    Yuichi Hirose
    Annals of the Institute of Statistical Mathematics, 2011, 63 : 1247 - 1275
  • [43] Semi-parametric transformation boundary regression models
    Natalie Neumeyer
    Leonie Selk
    Charles Tillier
    Annals of the Institute of Statistical Mathematics, 2020, 72 : 1287 - 1315
  • [44] On semi-parametric models in occult tumour experiments
    Rai, SN
    BIOMETRICAL JOURNAL, 1997, 39 (08) : 909 - 918
  • [45] Semi-parametric models of spatial market integration
    Goodwin, Barry K.
    Holt, Matthew T.
    Prestemon, Jeffrey P.
    EMPIRICAL ECONOMICS, 2021, 61 (05) : 2335 - 2361
  • [46] Fault injection for semi-parametric reliability models
    White, Allan L.
    2005 IEEE AEROSPACE CONFERENCE, VOLS 1-4, 2005, : 537 - 556
  • [47] A new variance estimator for parameters of semi-parametric generalized additive models
    Flanders, WD
    Klein, M
    Tolbert, P
    AMERICAN JOURNAL OF EPIDEMIOLOGY, 2003, 157 (11) : S54 - S54
  • [48] Semi-parametric transformation boundary regression models
    Neumeyer, Natalie
    Selk, Leonie
    Tillier, Charles
    ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2020, 72 (06) : 1287 - 1315
  • [49] Mixtures of Semi-Parametric Generalised Linear Models
    Millard, Salomon M.
    Kanfer, Frans H. J.
    SYMMETRY-BASEL, 2022, 14 (02):
  • [50] Identification of semi-parametric hybrid process models
    Yang, Aidong
    Martin, Elaine
    Morris, Julian
    COMPUTERS & CHEMICAL ENGINEERING, 2011, 35 (01) : 63 - 70
12345