Option Pricing under Non-Lognormal Distribution-With Empirical Study on Taiwan Index Options
碩士 === 國立成功大學 === 統計學系碩博士班 === 93 === The celebrated Black-Scholes formula for European option pricing is based on geometric Brownian motion for the asset price movements. For a geometric Brownian motion to be accurate, a key premise is that future price changes are independent of past price moveme...
| 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/82123405779334347215 |