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...

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Bibliografische gegevens
Hoofdauteur:	Xu, X
Formaat:	Thesis
Gepubliceerd in:	oxford university;mathematical institute 2011

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