A Gaussian Quadrature Approach for Pricing American GARCH Option
碩士 === 東吳大學 === 商用數學系 === 93 === A Gaussian-Legendre quadrature method is combined with analytical formulas for moments of the cumulative return under GARCH for pricing American option. To enhance the convergence speed for pricing American GARCH options, a modified Richardson extrapolation technique...
| 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/25101581955047401448 |