Browsing Strathmore Institute of Mathematical Sciences (SIMs) by Subject "Stochastic volatility"
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Modelling stochastic volatility using hidden Markov models: a case study of the Kenyan securities Market
(Strathmore University, 2021)The biased parameter estimates generated by the Black-Scholes model have been attributed to the failure of the normality and constant volatility assumption to hold. Results of the improvement of the Black-Scholes-Merton ...