• Assessing Core Stable Coalitions Based On Social Network Structures

      Chan, Su Yuan (Auckland University of Technology, 2017)
      Game theoretic techniques have become deliberate with social network analysis. Studies show that contemporary approach on social network analysis is unable to collectively evaluate the rationality of individuals and synergies ...
    • Option Pricing Under the Heston-CIR Model with Stochastic Interest Rates and Transaction Costs

      Wang, Biyuan (Auckland University of Technology, 2019)
      The celebrated Black-Scholes model on pricing a European option gives a simple and elegant pricing formula for European options with the underlying price following a geometric Brownian motion. In a realistic market with ...
    • Pricing Leveraged ETFS Options under Heston Dynamics

      Kapoor, Gaurav (Auckland University of Technology, 2018)
      The aim of this thesis is to derive a pricing formula for options on leverage exchange-traded funds (LETFs) with the assumption that the underlying index follows the Heston model dynamics. In order to price options for ...