Option pricing with GOU process under a stochastic earning yield
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 acc...
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| Format: | Thesis |
| Language: | English |
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Curtin University
2012
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| Online Access: | http://hdl.handle.net/20.500.11937/2330 |