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dc.contributor.authorAngkola, Francisca
dc.contributor.supervisorProf. Yong Hong Wuen_US
dc.date.accessioned2017-09-01T02:15:24Z
dc.date.available2017-09-01T02:15:24Z
dc.date.issued2016
dc.identifier.urihttp://hdl.handle.net/20.500.11937/56426
dc.description.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.

en_US
dc.publisherCurtin Universityen_US
dc.titleA generalized fractal dynamics option pricing model with transaction costsen_US
dc.typeThesisen_US
dcterms.educationLevelPhDen_US
curtin.departmentDepartment of Mathematics and Statisticsen_US
curtin.accessStatusOpen accessen_US
curtin.facultyScience and Engineeringen_US


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