Bivariate American Option Pricing Using GARCH Copula LSM Method
碩士 === 國立臺灣大學 === 財務金融學研究所 === 95 === A bivariate American option is an option with two underlying assets. In this thesis, a new pricing technique for bivariate American option pricing is presented. The pricing technique is implemented using GARCH, copula and the least squares Monte-Carlo (LSM) algo...
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| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/36343417670590869326 |