Option pricing using hidden Markov models

dc.contributor.advisorGuo, Renkuanen_ZA
dc.contributor.authorAnderson, Michaelen_ZA
dc.date.accessioned2014-12-26T06:16:20Z
dc.date.available2014-12-26T06:16:20Z
dc.date.issued2006en_ZA
dc.descriptionIncludes bibliographical references (leaves 144-149).en_ZA
dc.description.abstractThis 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.en_ZA
dc.identifier.apacitationAnderson, M. (2006). <i>Option pricing using hidden Markov models</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Statistical Sciences. Retrieved from http://hdl.handle.net/11427/10045en_ZA
dc.identifier.chicagocitationAnderson, Michael. <i>"Option pricing using hidden Markov models."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2006. http://hdl.handle.net/11427/10045en_ZA
dc.identifier.citationAnderson, M. 2006. Option pricing using hidden Markov models. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Anderson, Michael AB - 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. DA - 2006 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2006 T1 - Option pricing using hidden Markov models TI - Option pricing using hidden Markov models UR - http://hdl.handle.net/11427/10045 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/10045
dc.identifier.vancouvercitationAnderson M. Option pricing using hidden Markov models. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2006 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/10045en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Statistical Sciencesen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematics of Financeen_ZA
dc.titleOption pricing using hidden Markov modelsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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