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    Option pricing with GOU process under a stochastic earning yield

    193855_Phewchean_2013.pdf (6.793Mb)
    Access Status
    Open access
    Authors
    Phewchean, Nattakorn
    Date
    2012
    Supervisor
    Hong Wu
    Prof. Yong
    Type
    Thesis
    Award
    PhD
    
    Metadata
    Show full item record
    School
    Department of Mathematics and Statistics
    URI
    http://hdl.handle.net/20.500.11937/2330
    Collection
    • Curtin Theses
    Abstract

    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.

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