MS (Master of Science)
Date of Award
Committee Chair or Co-Chairs
Dr. Anant Godbole
Dr.Jeff Knisley, Dr. Frederick Norwood
Level crossing times and their applications in finance are of importance, given certain threshold levels that represent the "desirable" or "sell" values of a stock. In this thesis, we make use of Wald's lemmas and various deep results from renewal theory, in the context of finance, in modelling the growth of a portfolio of stocks. Several models are employed .
Thesis - unrestricted
Osei, Ofosuhene, "Level Crossing Times in Mathematical Finance" (2013). Electronic Theses and Dissertations. Paper 1126. https://dc.etsu.edu/etd/1126
Copyright by the authors.