Option pricing with GOU process under a stochastic earning yield
MetadataShow full item record
Department of Mathematics and Statistics
The aim of this research is to study and extend the Black-Scholes model framework. The research consists of three parts. The first part is to derive the Black-Scholes type models under different application perspective. The second part is to develop a European option pricing model taking into account stochastic earning yield. The third part is to validate the new option price model. Numerical simulation results show that our new model out-performs others.
Showing items related by title, author, creator and subject.
A trans-cultural study of the practice of occupational therapists in Thailand and Australia: reframing theories of practicePongsaksri, Arisa (2004)Culturally appropriate conceptual models for practice are of major interest to occupational therapists, an emerging health profession in Thailand. Currently in Thailand, occupational therapy education and practice derives ...
Amiri, Amirpiran (2013)The alumina industry provides the feedstock for aluminium metal production and contributes to around A$6 billion of Australian exports annually. One of the most energy-intensive parts of alumina production, with a strong ...
Tian, J.; Li, L.; Liu, Wan-Quan (2016)2D articulated human pose tracking in monocular image sequences remains an extremely challenging task due to background cluttering, variation in body appearance, occlusion and imaging conditions. Most of the current ...