Skewness- and Kurtosis-adjusted American Option Pricing Model
碩士 === 國立中正大學 === 財務金融學系 === 86 === The traditional American pricing model frequently misprices deep-in-the-money and deep-out-of-the-money options. Practitioners popularly refer to these strike price biase as volatility smiles. In this pa...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
1998
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/72832617355691413308 |