A new class of option price models is developed and applied to options on the Australian S&P200 Index. The class of models generalizes the traditional Black-Scholes framework by accommodating time-varying conditional volatility, skewness and excess kurtosis in the underlying returns process. An...

A Bayesian approach to option pricing is presented, in which posterior inference about the underlying returns process is conducted implicitly via observed option prices. A range of models allowing for conditional leptokurtosis, skewness and time-varying volatility in returns are considered, with...