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    Weak Euler Scheme for Stochastic Differential Equations with Applications in Finance

    Aslam B 2019.pdf (1.252Mb)
    Access Status
    Open access
    Authors
    Aslam, Bilal
    Date
    2019
    Supervisor
    Yap Ching Seng
    Type
    Thesis
    Award
    MPhil
    
    Metadata
    Show full item record
    Faculty
    Business and Law
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/76463
    Collection
    • Curtin Theses
    Abstract

    In this thesis, a new type of path-dependent options, referred to as the average-Asian options, are introduced to further reduce the volatility of the underlying price risk and minimize the option manipulation threat. Euler method is adopted to discretize the associated stochastic differential equation, based on which the options are priced by using Monte Carlo simulations for both the cases when volatility is constant and when it is stochastic during the life of the option.

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