Study of Various Stochastic Differential Equation Models for Finance
The first part of the study focuses on European and American option pricing. We explore the jump diffusion models with stochastic volatility within the general equilibrium framework and use the minimal martingale measure as martingale measure. The second part of the thesis is on portfolio optimizati...
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| Format: | Thesis |
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Curtin University
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/56545 |