Optimal Option Hedging Strategy with Fast Fourier Transform in Jump Diffusion and Stochastic Volatility Models
碩士 === 銘傳大學 === 財務金融學系碩士班 === 96 === Two major disadvantages in the conventional Black-Scholes model include that the underlying asset follows the log normal distribution and that volatility of underlying asset does not vary over time. To overcome these disadvantages, speed up option valuation and o...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/2kdnby |