This thesis introduces a novel theoretical option pricing ensemble framework to improve the bias and variance of option pricing models, especially those based on Levy Processes. In particular, we present a completely new, yet very general theoretical framework to calibrate and combine several option pricing models using ensemble methods. This framework has four main steps: general option pricing tasks, ensemble generation, ensemble pruning and ensemble integration. The modularity allows for a exible implementation in terms of asset classes, base models, pricing techniques and ensemble architecture.
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:644491 |
| Date | January 2015 |
| Creators | Steinki, Oliver |
| Publisher | University of Manchester |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Source | https://www.research.manchester.ac.uk/portal/en/theses/an-investigation-of-ensemble-methods-to-improve-the-bias-andor-variance-of-option-pricing-models-based-on-levy-processes(8c4f1c41-2b87-4138-a6d6-91e8292b0f23).html |
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