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Study of Stochastic Differential Equation Driven by Time-Changed Levy Noise
This dissertation is composed of two parts. The first part studies stabilities of the solution of stochastic differential equation (SDE) driven by time-changed L´evy noise in probability, moment, and path sense. This ...
Essays on Option Hedging and Application of the Black-Scholes Model
This dissertation is composed of three essays related to hedging and application of the Black-Scholes model. The first essay is motivated by the short-lived arbitrage model, which has been shown to significantly improve ...