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

作者：Kacperczyk Marcin; Damien Paul^*; Walker Stephen G

来源：Quantitative Finance, 2013, 13(6): 967-980.

DOI：10.1080/14697688.2012.712212

• Dirichlet process
• Beta distribution
• Scale mixtures
• Options

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.

• 出版日期2013-6-1