Sebastiani, Mattia (A.A. 2024/2025) Beyond Black-Scholes: regime switching monte carlo option pricing with hidden Markov model. Tesi di Laurea in Gambling: probability and decision, Luiss Guido Carli, relatore Hlafo Alfie Mimun, pp. 66. [Bachelor's Degree Thesis]

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Abstract/Index

Markov chains. Definition and basic properties. Transition probabilities and chapman–Kolmogorov equations. Classification of states. Periodicity and aperiodicity. Stationary distributions. Limit theorems for Markov chains. Random walks. Hidden Markov models. Estimation of HMM parameters. State ordering and interpretability. Propagation of regime probabilities. Option pricing models with and without regimes. The Black–Scholes model. Expected-variance Black–Scholes (EV-BS). Regime-switching Monte Carlo. Comparison of models. Empirical application to NVIDIA options. Dataset construction. Hidden Markov model estimation. Option pricing models in practice.

References

Bibliografia: pp. 55-56.

Thesis Type:	Bachelor's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Bachelor's Degree Programs > Bachelor's Degree Program in Management and Computer Science, English language (L-18)
Chair:	Gambling: probability and decision
Thesis Supervisor:	Mimun, Hlafo Alfie
Academic Year:	2024/2025
Session:	Autumn
Deposited by:	Alessandro Perfetti
Date Deposited:	29 Apr 2026 13:24
Last Modified:	29 Apr 2026 13:24
URI:	https://tesi.luiss.it/id/eprint/45590

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