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Title: An investigation of ensemble methods to improve the bias and/or variance of option pricing models based on Lévy processes
Author: Steinki, Oliver
ISNI:       0000 0004 5356 3202
Awarding Body: University of Manchester
Current Institution: University of Manchester
Date of Award: 2015
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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.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (D.B.A.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: option pricing ; levy process ; ensemble methods ; derivatives pricing ; dax ; model uncertainty