Pricing Vulnerable Options in Continuous Time Models
碩士 === 國立中山大學 === 應用數學系研究所 === 93 === Under path dependent consideration, we discuss vulnerable option pricing problem. Two pricing models are proposed: Model(1) use stepwise regression and Monte Carlo simulation, and Model(2) is based on multi-level regression method. Since the option price was app...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/20595159689049602379 |