A New Class of Bayesian Semiparametric Models with Applications to Option Pricing
Marcin T. Kacperczyk
New York University (NYU) - Leonard N. Stern School of Business; National Bureau of Economic Research (NBER); New York University (NYU) - Department of Finance
University of Texas at Austin - McCombs School of Business
Stephen G. Walker
University of Bath - School of Mathematical Sciences
April 13, 2011
NYU Stern School of Business Working Paper
McCombs Research Paper Series No. IROM-08-05
This paper develops a new family of Bayesian semiparametric 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.
Number of Pages in PDF File: 41
Keywords: Bayesian semiparametric model, option pricing
JEL Classification: G13, G12working papers series
Date posted: August 8, 2003 ; Last revised: June 15, 2011
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