GARCH Option Pricing Model Fitting With Taiwan Stock Market
碩士 === 國立中山大學 === 財務管理學系研究所 === 95 === This article emphasizes on fitting GARCH option pricing model with Taiwan stock market. Duan’s(1995) NGARCH option pricing model is adopted. Duan solved the European option by simulation, this article follow the method and extents to pricing American option. In...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/hex24d |