Binomial American Option Pricing with Stochastic Parameters
碩士 === 中興大學 === 應用數學系所 === 94 === The Black and Scholes (1973) model has been extended in several ways. One of these is to allow the volatility of the underlying asset to change over time. We derive the formula for binomial option pricing model where the up and down parameters are stochastic. In the...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/01808344716140558592 |