The Robustness of GARCH Option Pricing by the Least-Squares Monte Carlo Simulation
碩士 === 國立中興大學 === 財務金融學系 === 93 === In this thesis, we study how to price the GARCH option using the Least-Squares Monte Carlo simulation approach, which was introduced by Longstaff and Schwartz (2001). They suggested that it is unsuited to pricing the path-dependent American-style GARCH option. How...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/17003364152186036086 |