Fake Geometric Brownian Motion And Its Option Pricing

Fake Geometric Brownian Motion And Its Option Pricing

In this thesis, we begin with introducing the notion of a fake geometric Brownian motion in analogy to the fake Brownian motion. Secondly we construct two discontinuous fake geometric Brownian motion processes via the solutions to the Skorokhod embedding problem. Finally we simulate European and pat...

書誌詳細
第一著者:	Xu, X
フォーマット:	学位論文
出版事項:	oxford university;mathematical institute 2011

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