A new class of Bayesian semi-parametric models with applications to option pricing

DOI10.1080/14697688.2012.712212MaRDI QIDQ5397432zbMATH OpenOpenAlexFDO

Authors Marcin Kacperczyk, Paul Damien, Stephen G. Walker

Publication date 20 February 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2027.42/35766

zbMATH Keywords

beta distributionDirichlet processoptionsscale mixtures

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A Bayesian analysis of some nonparametric problems
• ARCH modeling in finance. A review of the theory and empirical evidence
• Bayes methods for a symmetric unimodal density and its mode
• Gibbs Sampling for Bayesian Non-Conjugate and Hierarchical Models by Using Auxiliary Variables
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Nonparametric option pricing under shape restrictions
• Option pricing when underlying stock returns are discontinuous
• Perfect slice samplers
• Post-'87 crash fears in the S\&P 500 futures option market
• Predicting volatility: getting the most out of return data sampled at different frequencies
• The pricing of options and corporate liabilities
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(5)

• A Bayesian mixed logit-probit model for multinomial choice
• On a rapid simulation of the Dirichlet process
• Bayesian mean-variance analysis: optimal portfolio selection under parameter uncertainty
• Bayesian analysis of some models that use the asymmetric exponential power distribution
• Bayesian semiparametric stochastic volatility modeling

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