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 |