|
Stochastic modeling for gold prices and its application to gold derivative pricing |
|---|---|
| รหัสดีโอไอ | |
| Title | Stochastic modeling for gold prices and its application to gold derivative pricing |
| Creator | Naratip Issaranusorn |
| Contributor | Khamron Mekchay, Kittipat Wong, Sanae Rujivan |
| Publisher | Chulalongkorn University |
| Publication Year | 2553 |
| Keyword | Stochastic models, Differential equations, Gold -- Prices, กระบวนการสโตแคสติค, สมการเชิงอนุพันธ์, ทอง -- ราคา |
| Abstract | In this thesis, we developed a one-factor model of stochastic behavior of gold prices. The gold prices are assumed to follow an extended Geometric Brownian Motion with a time-varying drift which describes seasonal variation in gold prices. The drift includes instantaneous convenience yields which follow an ordinary differential equation. Moreover, we derive closed-form solutions for no-arbitrage prices of gold futures and European gold options under the no-arbitrage assumptions. |
| URL Website | cuir.car.chula.ac.th |
