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dc.contributor.authorAslam, Bilal
dc.contributor.supervisorYap Ching Sengen_US

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.

dc.publisherCurtin Universityen_US
dc.titleWeak Euler Scheme for Stochastic Differential Equations with Applications in Financeen_US
curtin.departmentSchool of Economics and Financeen_US
curtin.accessStatusOpen accessen_US
curtin.facultyBusiness and Lawen_US

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