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    A generalized fractal dynamics option pricing model with transaction costs

    Angkola F 2016.pdf (6.503Mb)
    Access Status
    Open access
    Authors
    Angkola, Francisca
    Date
    2016
    Supervisor
    Prof. Yong Hong Wu
    Type
    Thesis
    Award
    PhD
    
    Metadata
    Show full item record
    Faculty
    Science and Engineering
    School
    Department of Mathematics and Statistics
    URI
    http://hdl.handle.net/20.500.11937/56426
    Collection
    • Curtin Theses
    Abstract

    Since the introduction of classical Black-Scholes model, option pricing is an area which has been studied by many researchers worldwide with the prospect to develop a better, more realistic model than the existing ones. We improve the existing model to capture long memory in the financial market by considering generalized fractal dynamics and transaction costs. The influences and relevance of various additional parameters on the real financial market are also investigated in this work.

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