An Empirical Analysis for Pricing Single-Stock Warrants Under Stochastic Volatility Model
碩士 === 國立高雄第一科技大學 === 金融營運所 === 90 === Numerous empirical studies have found that the Black-Scholes Model results in systematic biases across moneyness and maturity. One possible explanation is that volatility of the underlying asset return is not constant over time. The autoregressive conditional h...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/58328408142658070457 |