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

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  • Marcin Kacperczyk
  • Paul Damien
  • Stephen G. Walker

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.

Suggested Citation

  • Marcin Kacperczyk & Paul Damien & Stephen G. Walker, 2013. "A new class of Bayesian semi-parametric models with applications to option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 967-980, May.
    • Handle: RePEc:taf:quantf:v:13:y:2013:i:6:p:967-980
    DOI: 10.1080/14697688.2012.712212
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