Recovering risk neutral probability distributions from market option prices
碩士 === 國立政治大學 === 應用數學研究所 === 94 === The thesis proposes a liner programming to recover the risk-neutral probability distribution of an underlying asset price from its associated market option prices, and we evaluate the fair prices of options via the resulting risk-neutral probability distribution....
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/65193731151605143270 |