Option Pricing with Stochastic Volatility
碩士 === 國立臺灣大學 === 財務金融學研究所 === 94 === The volatility smile is frequently observed in options prices. But in the pure Black-Scholes world, there should not be any smile as the volatility should be constant across the strike price and time. The Black-Scholes model makes the strong assumption that stoc...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/27544733515480999597 |