Implied Binomial Tree Method for Pricing TAITEX Options
碩士 === 國立臺灣大學 === 資訊工程學研究所 === 94 === ABSTRACT Building a recombining tree consistent with the volatility smile from observed options in the market is important for pricing. We adopts Barle and Cakici’s (1998) implied tree that modifies some features in Derman and Kani’s (1994) and use it to price T...
| 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/24241902326492299239 |