Option pricing for Fractal Activity Time Geometric Brownian Motion (FATGBM)
This thesis examines option pricing for a Long Range Dependent (LRD) stochastic process with student marginal distributions called Fractal Activity Time Geometric Brownian Motion (FATGBM), introduced in Heyde (1999). We address four separate problems involving the pricing of options under FATGBM and other LRD stochastic processes. Following an introduction into the mechanics of derivative pricing, the thesis begins by addressing the problem of derivative pricing under FATGBM. We first develop...[Show more]
|Collections||Open Access Theses|
|Access Rights:||Open Access|
|b28789246_Dev_Priya.pdf||42.72 MB||Adobe PDF|
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.