The goal of this thesis is to consider asset pricing model which driven by an exponential time changed process: Brownian motion with time... Show moreThe goal of this thesis is to consider asset pricing model which driven by an exponential time changed process: Brownian motion with time changing process{ Poisson process. We rst present the characteristic function of the time change exponential Brown motion and its ltration. Second we exhibit the explicit European call pricing formula then discuss the mean-variance hedging method in this thesis. M.S. in Applied Mathematics, December 2012 Show less
