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...
| Main Author: | |
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| Format: | Thesis |
| Published: |
Curtin University
2016
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| Online Access: | http://hdl.handle.net/20.500.11937/56426 |
| _version_ | 1848759873042382848 |
|---|---|
| author | Angkola, Francisca |
| author_facet | Angkola, Francisca |
| author_sort | Angkola, Francisca |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 considering generalized fractal dynamics and transaction costs. The influences and relevance of various additional parameters on the real financial market are also investigated in this work. |
| first_indexed | 2025-11-14T10:06:48Z |
| format | Thesis |
| id | curtin-20.500.11937-56426 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T10:06:48Z |
| publishDate | 2016 |
| publisher | Curtin University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-564262017-09-01T02:15:24Z A generalized fractal dynamics option pricing model with transaction costs Angkola, Francisca 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 considering generalized fractal dynamics and transaction costs. The influences and relevance of various additional parameters on the real financial market are also investigated in this work. 2016 Thesis http://hdl.handle.net/20.500.11937/56426 Curtin University fulltext |
| spellingShingle | Angkola, Francisca A generalized fractal dynamics option pricing model with transaction costs |
| title | A generalized fractal dynamics option pricing model with transaction costs |
| title_full | A generalized fractal dynamics option pricing model with transaction costs |
| title_fullStr | A generalized fractal dynamics option pricing model with transaction costs |
| title_full_unstemmed | A generalized fractal dynamics option pricing model with transaction costs |
| title_short | A generalized fractal dynamics option pricing model with transaction costs |
| title_sort | generalized fractal dynamics option pricing model with transaction costs |
| url | http://hdl.handle.net/20.500.11937/56426 |