Option pricing from a Bayesian perspective using the Dirichlet process.
There exist a wide variety of models for the pricing of derivative securities such as call and put options. This thesis introduces an alternative option pricing methodology based on a Monte Carlo simulation of the Dirichlet process. The model is constructed in a Bayesian framework, using the propert...
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University of Ottawa (Canada)
2009
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| Online Access: | http://hdl.handle.net/10393/9257 http://dx.doi.org/10.20381/ruor-16223 |