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Option pricing for Fractal Activity Time Geometric Brownian Motion (FATGBM)

Dev, Priya


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]

CollectionsOpen Access Theses
Date published: 2011
Type: Thesis (PhD)
DOI: 10.25911/5d515119e57ab
Access Rights: Open Access


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