Physical Sciences and Mathematics Commons^™

Stochastic Modeling Of Earthquakes And Option Pricing Using Bns-Gamma-Ou Model, Mandela Bright Quashie

Open Access Theses & Dissertations

High frequency data are becoming increasingly popular these days. They are fundamental in basically every facet of people’s lives. They are the determining factors in hedging in the field of finance. In geology, they help in the accurate prediction of earthquakes’ magnitude which goes along way to help save lives and properties.

High frequency data are also used more and more frequently for speculations. For this reason, it is important not only for scientists to apply models allowing correct quantification of these data, but also to improve the eciency of these models.

The Black-Scholes model, which is widely used because …