Incorporating market attention in option pricing with applications to Bitcoin derivatives

Guinea, Alvaro (2022) Incorporating market attention in option pricing with applications to Bitcoin derivatives. PhD thesis, University of York.

Abstract

Metadata

Supervisors: Alet, Roux
Keywords: Option pricing; Bitcoin; Stochastic volatility models with delay; Time changed models; Sequential Monte Carlo methods
Awarding institution: University of York
Academic Units: The University of York > Mathematics (York)
Identification Number/EthosID: uk.bl.ethos.861195
Depositing User: Mr Alvaro Guinea
Date Deposited: 14 Sep 2022 12:18
Last Modified: 21 Oct 2022 09:53

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