Now showing items 1-3 of 3

    • A Black-Scholes-integrated Gaussian Process Model for American Option Pricing 

      Kim, Chiwan (2020-04-15)
      Acknowledging the lack of option pricing models that simultaneously have high prediction power, high computational efficiency, and interpretations that abide by financial principles, we suggest a Black-Scholes-integrated ...
    • Essays in Financial Econometrics 

      De Lira Salvatierra, Irving (2015)
      The main goal of this work is to explore the effects of time-varying extreme jump tail dependencies in asset markets. Consequently, a lot of attention has been devoted to understand the extremal tail dependencies between ...
    • Essays on the Econometrics of Option Prices 

      Vogt, Erik (2014)
      This dissertation develops new econometric techniques for use in estimating and conducting inference on parameters that can be identified from option prices. The techniques in question extend the existing literature in financial ...