The NGARCH Option Pricing Model: Application to TAIEX Options
碩士 === 國立交通大學 === 應用數學系 === 90 === Following the work of Black and Scholes, we consider a discrete time option model of the NGARCH asset return process. At the same time, a new numerical method named by Empirical Martingale Simulation (EMS) takes the place of crude M...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/87334832343648722641 |