The Research of CIR、GARCH and Jump-Diffusion Process on Pricing the Index Options
碩士 === 國立清華大學 === 科技管理研究所 === 91 === In this article, we mainly estimate the parameters of GARCH (1,1) model to simulate the index prices and use jump diffusion process to simulate the interest rate paths in the stochastic interest rate model. Therefore, we release the assumption in Black...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/46082089929609691144 |