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Option pricing using hidden Markov models
Includes bibliographical references (leaves 144-149).
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Statistical Sciences
2014
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| _version_ | 1867613186981625856 |
|---|---|
| access_status_str | Open Access |
| author | Anderson, Michael |
| author2 | Guo, Renkuan |
| author_browse | Anderson, Michael Guo, Renkuan |
| author_facet | Guo, Renkuan Anderson, Michael |
| author_sort | Anderson, Michael |
| collection | Thesis |
| description | Includes bibliographical references (leaves 144-149). |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/10045 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:08.355Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Statistical Sciences |
| publisherStr | Department of Statistical Sciences |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/10045 Option pricing using hidden Markov models Anderson, Michael Guo, Renkuan Mathematics of Finance Includes bibliographical references (leaves 144-149). This work will present an option pricing model that accommodates parameters that vary over time, whilst still retaining a closed-form expression for option prices: the Hidden Markov Option Pricing Model. This is possible due to the macro-structure of this model and provides the added advantage of ensuring efficient computation of option prices. This model turns out to be a very natural extension to the Black-Scholes model, allowing for time-varying input parameters. 2014-12-26T06:16:20Z 2014-12-26T06:16:20Z 2006 Master Thesis Masters MSc http://hdl.handle.net/11427/10045 eng application/pdf Department of Statistical Sciences Faculty of Science University of Cape Town |
| spellingShingle | Mathematics of Finance Anderson, Michael Option pricing using hidden Markov models |
| thesis_degree_str | Master's |
| title | Option pricing using hidden Markov models |
| title_full | Option pricing using hidden Markov models |
| title_fullStr | Option pricing using hidden Markov models |
| title_full_unstemmed | Option pricing using hidden Markov models |
| title_short | Option pricing using hidden Markov models |
| title_sort | option pricing using hidden markov models |
| topic | Mathematics of Finance |
| url | http://hdl.handle.net/11427/10045 |
| work_keys_str_mv | AT andersonmichael optionpricingusinghiddenmarkovmodels |