AN INVESTIGATION OF ENSEMBLE METHODS TO IMPROVE THE BIAS AND/OR VARIANCE OF OPTION PRICING MODELS BASED ON LEVY PROCESSES

  • Oliver Steinki

Student thesis: Doctor of Business Administration

Abstract

see full text for abstract
Date of Award31 Dec 2015
Original languageEnglish
Awarding Institution
  • The University of Manchester
SupervisorRobert Ryan (Supervisor)

Keywords

  • model uncertainty
  • option pricing
  • levy process
  • ensemble methods
  • derivatives pricing
  • dax

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