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

DOI10.1080/14697688.2012.712212zbMath1281.62224OpenAlexW3122167509MaRDI QIDQ5397432

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

optionsDirichlet processbeta distributionscale mixtures

Mathematics Subject Classification ID

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

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Cites Work

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