A New Class of Bayesian Semiparametric Models with Applications to Option Pricing

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

MoreLess

Year of publication:	[2011]
Authors:	Kacperczyk, Marcin T.
Other Persons:	Damien, Paul (contributor) ; Walker, Stephen G. (contributor)
Publisher:	[2011]: [S.l.] : SSRN

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (41 p)
Series:	NYU Stern School of Business Working Paper
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 13, 2011 erstellt
Other identifiers:	10.2139/ssrn.416583 [DOI]
Classification:	G13 - Contingent Pricing; Futures Pricing ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012714920