A new class of Bayesian semi-parametric models with applications to option pricing
提出了一类新的贝叶斯半参数模型，并用其中一种模型来改进期权价格预测，通过欧洲指数看涨和看跌期权的实证分析验证了效果。
This paper develops a new family of Bayesian semi-parametric 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.