Kacperczyk, Marcin; Damien, Paul; Walker, Stephen G. - In: Quantitative Finance 13 (2013) 6, pp. 967-980
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.