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...
| Main Author: | |
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| Format: | Thesis |
| Language: | English |
| Published: |
Curtin University
2012
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| Online Access: | http://hdl.handle.net/20.500.11937/2330 |
| _version_ | 1848743924355563520 |
|---|---|
| author | Phewchean, Nattakorn |
| author_facet | Phewchean, Nattakorn |
| author_sort | Phewchean, Nattakorn |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 account stochastic earning yield. The third part is to validate the new option price model. Numerical simulation results show that our new model out-performs others. |
| first_indexed | 2025-11-14T05:53:18Z |
| format | Thesis |
| id | curtin-20.500.11937-2330 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T05:53:18Z |
| publishDate | 2012 |
| publisher | Curtin University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-23302017-02-20T06:38:49Z Option pricing with GOU process under a stochastic earning yield Phewchean, Nattakorn 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 account stochastic earning yield. The third part is to validate the new option price model. Numerical simulation results show that our new model out-performs others. 2012 Thesis http://hdl.handle.net/20.500.11937/2330 en Curtin University fulltext |
| spellingShingle | Phewchean, Nattakorn Option pricing with GOU process under a stochastic earning yield |
| title | Option pricing with GOU process under a stochastic earning yield |
| title_full | Option pricing with GOU process under a stochastic earning yield |
| title_fullStr | Option pricing with GOU process under a stochastic earning yield |
| title_full_unstemmed | Option pricing with GOU process under a stochastic earning yield |
| title_short | Option pricing with GOU process under a stochastic earning yield |
| title_sort | option pricing with gou process under a stochastic earning yield |
| url | http://hdl.handle.net/20.500.11937/2330 |