Rombouts, Jeroen V.K.; Stentoft, Lars - School of Economics and Management, University of Aarhus - 2009
, mispricings remain. This paper uses mixed normal heteroskedasticity models to price options. Our model allows for significant … negative skewness and time varying higher order moments of the risk neutral distribution. Parameter inference using Gibbs …. When forecasting out-of-sample options on the S&P 500 index, substantial improvements are found compared to a benchmark …