Option pricing with GOU process under a stochastic earning yield
Access Status
Open access
Authors
Date
2012Supervisor
Hong Wu
Prof. Yong
Type
Thesis
Award
PhD
Metadata
Show full item recordSchool
Department of Mathematics and Statistics
Collection
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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