A generalized fractal dynamics option pricing model with transaction costs
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...
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| Format: | Thesis |
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Curtin University
2016
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| Online Access: | http://hdl.handle.net/20.500.11937/56426 |