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...

type="main" xml:id="jtsa12059-abs-0001" <title type="main">Abstract</title>We propose extensions of the Box–Pierce ([Box GE, 1970]) portmanteau autocorrelation test to allow for two generalizations: (i) time series that exhibit unconditional heteroskedasticity and (ii) to test for the presence of autocorrelation only...