Option Pricing and Hedge in Presence of Transaction Costs－With Move-Based Trading Policy
碩士 === 國立臺灣大學 === 國際企業學研究所 === 93 === There are two parts in this thesis. In the first part , we consider the option hedge problem under a ``move-based policy'' trading strategy. Under this trading strategy, the price changing rate of a stock is taken as the control variable. As long as th...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/68527107415025941318 |