An Empirical Analysis of Taiwan Index Option Prices under Stochastic Volatility Model
碩士 === 輔仁大學 === 金融研究所 === 92 === As Black & Scholes model has made many unrealistic assumptions, such as no tax, no transaction costs, no liquidity risk, etc., many scholars started modifying Black & Scholes model’s assumptions to form the stochastic volatility, stochastic interest rate and...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/45342268013486103181 |