Normal Inverse Gaussian GARCH Model and Option Pricing
碩士 === 國立交通大學 === 應用數學系所 === 94 === This article uses the NIG GARCH model, the GARCH model with Normal inverse Gaussian innovation, to model the financial asset return. Under this model, we can pricing derivatives via Conditional Esscher transform. The pricing result can be justified by dynamic powe...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/76175143480180265237 |