Detection of Structural Breaks in Black-Scholes Framework

Student: Vladimir Ganzhara

Educational Programme: Applied Mathematics and Information Science (Bachelor)

Final Grade: 8

Year of Graduation: 2024

Bifurcation theory studies unstable points in dynamical systems with pa- rameters in which the system could go by different courses and arrive to distinct solutions. In this paper we apply methods of bifurcation analysis to the Black- Scholes model to find change-points in the option prices of several assets. We compare these points with the change-points on real-life data to learn, whether bifurcation points are more likely to be change-points.

Full text (added May 20, 2024)

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