Option pricing with GOU process under a stochastic earning yield
| dc.contributor.author | Phewchean, Nattakorn | |
| dc.contributor.supervisor | Hong Wu | |
| dc.contributor.supervisor | Prof. Yong | |
| dc.date.accessioned | 2017-01-30T10:20:29Z | |
| dc.date.available | 2017-01-30T10:20:29Z | |
| dc.date.created | 2013-12-11T05:42:38Z | |
| dc.date.issued | 2012 | |
| dc.identifier.uri | http://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.language | en | |
| dc.publisher | Curtin University | |
| dc.title | Option pricing with GOU process under a stochastic earning yield | |
| dc.type | Thesis | |
| dcterms.educationLevel | PhD | |
| curtin.department | Department of Mathematics and Statistics | |
| curtin.accessStatus | Open access |