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...
| Main Author: | |
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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 |
| _version_ | 1848763693859340288 |
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| author | Aslam, Bilal |
| author_facet | Aslam, Bilal |
| author_sort | Aslam, Bilal |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 equation, based on which the options are priced by using Monte Carlo simulations for both the cases when volatility is constant and when it is stochastic during the life of the option. |
| first_indexed | 2025-11-14T11:07:31Z |
| format | Thesis |
| id | curtin-20.500.11937-76463 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T11:07:31Z |
| publishDate | 2019 |
| publisher | Curtin University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-764632019-11-11T04:10:56Z Weak Euler Scheme for Stochastic Differential Equations with Applications in Finance Aslam, Bilal 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 equation, based on which the options are priced by using Monte Carlo simulations for both the cases when volatility is constant and when it is stochastic during the life of the option. 2019 Thesis http://hdl.handle.net/20.500.11937/76463 Curtin University fulltext |
| spellingShingle | Aslam, Bilal Weak Euler Scheme for Stochastic Differential Equations with Applications in Finance |
| title | Weak Euler Scheme for Stochastic Differential Equations with Applications in Finance |
| title_full | Weak Euler Scheme for Stochastic Differential Equations with Applications in Finance |
| title_fullStr | Weak Euler Scheme for Stochastic Differential Equations with Applications in Finance |
| title_full_unstemmed | Weak Euler Scheme for Stochastic Differential Equations with Applications in Finance |
| title_short | Weak Euler Scheme for Stochastic Differential Equations with Applications in Finance |
| title_sort | weak euler scheme for stochastic differential equations with applications in finance |
| url | http://hdl.handle.net/20.500.11937/76463 |