作者未提供
碩士 === 銘傳大學 === 財務金融學系碩士班 === 92 === This article studies the pricing and hedge performance of the GARCH option pricing model relative to the Black-Scholes pricing model . Specially, we investigate the performance of the option pricing model based on the NGARCH process. Using Taiwan Stock Exchange C...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/66bvn4 |