Option pricing using hidden Markov models

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.

Grantor dc:publisher.institution

Department of Statistical Sciences

Year dc:date.issued

2006

Author dc:creator

• Anderson, Michael

Advisor dc:contributor.advisor

• Guo, Renkuan

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/10045

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/10045