41 Pages Posted: 8 Aug 2003 Last revised: 15 Jun 2011
Date Written: April 13, 2011
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.
Keywords: Bayesian semiparametric model, option pricing
JEL Classification: G13, G12
Suggested Citation: Suggested Citation
Kacperczyk, Marcin T. and Damien, Paul and Walker, Stephen G., A New Class of Bayesian Semiparametric Models with Applications to Option Pricing (April 13, 2011). NYU Stern School of Business Working Paper; McCombs Research Paper Series No. IROM-08-05. Available at SSRN: https://ssrn.com/abstract=416583 or http://dx.doi.org/10.2139/ssrn.416583