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dc.contributor.authorPhewchean, Nattakorn
dc.contributor.supervisorHong Wu
dc.contributor.supervisorProf. Yong
dc.date.accessioned2017-01-30T10:20:29Z
dc.date.available2017-01-30T10:20:29Z
dc.date.created2013-12-11T05:42:38Z
dc.date.issued2012
dc.identifier.urihttp://hdl.handle.net/20.500.11937/2330
dc.description.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.

dc.languageen
dc.publisherCurtin University
dc.titleOption pricing with GOU process under a stochastic earning yield
dc.typeThesis
dcterms.educationLevelPh.D.
curtin.departmentDepartment of Mathematics and Statistics
curtin.accessStatusOpen access


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