一类新的贝叶斯半参数模型及其在期权定价中的应用

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2011-04-13 DOI:10.2139/ssrn.416583

Marcin T. Kacperczyk, P. Damien, S. Walker

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引用次数: 13

摘要

本文建立了一类新的贝叶斯半参数模型。这个家族的一个特定成员被用来为期权价格建模，目的是改善样本外预测。以欧洲指数看涨期权和看跌期权为例，进行了详细的实证分析。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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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.

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来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets