Weak Euler Scheme for Stochastic Differential Equations with Applications in Finance
In this thesis, a new type of path-dependent options, referred to as the average-Asian options, are introduced to further reduce the volatility of the underlying price risk and minimize the option manipulation threat. Euler method is adopted to discretize the associated stochastic differential equat...
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| Format: | Thesis |
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Curtin University
2019
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| Online Access: | http://hdl.handle.net/20.500.11937/76463 |