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...
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| פורמט: | Thesis |
| יצא לאור: |
oxford university;mathematical institute
2011
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