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: | Yung-Chun Lin, 林永春 |
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Other Authors: | Chung-Gee Lin |
Format: | Others |
Language: | en_US |
Published: |
2005
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Online Access: | http://ndltd.ncl.edu.tw/handle/25101581955047401448 |
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