Option Pricing with GARCH Effect and Discontinuous Jumps：Quasi-Monte Carlo Simulation
碩士 === 國立臺灣科技大學 === 財務金融研究所 === 94 === With the trade volume increasing in TAIEX option, how to price the options correctly and quickly becoming more and more important. Black and Sholes (1973) provided a useful model to price the options; however, it has many estrictions. In the paper, we introduce...
| 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/4637h7 |