Option pricing using hidden Markov models
type: CreativeWork
description: 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.
abstract: 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.
author: Anderson, Michael
language: eng
date published: 2006
date modified: 2026-07-22T22:22:46Z
provider: University of Cape Town
publisher: Networked Digital Library of Theses and Dissertations
type: WebPage
source organization: Department of Statistical Sciences

PropertyValue
property ID: Handle
value: http://hdl.handle.net/11427/10045