Pricing the TAIEX option with GARCH-NIG Model
碩士 === 國立交通大學 === 統計學研究所 === 92 === In this paper，we focus on pricing option of TAIEX using GARCH-NIG model formed by Normal Inverse Gaussian(NIG) distribution proposed by Barndorff-Nielsen in 1997 combined with the variance of NIG distribution following GARCH process. Using maximum likelihood esti...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/yet49f |