Fast Fourier Transform in Jump Diffusion and Stochastic Volatility Models : The Case of TAIEX Options
碩士 === 銘傳大學 === 財務金融學系碩士班 === 95 === There are two disadvantages in the conventional Black-Scholes model. First disadvantage is that the underlying asset follows the log normal distribution. The latter disadvantage is that the volatility of underlying asset does not change over time. To overcome t...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/26856t |