The Valuation of Reset Options when Underlying Assets are Autocorrelated
碩士 === 國立成功大學 === 財務金融研究所 === 96 === This thesis mainly introduces the autocorrelation effect of asset returns into the valuation model of reset options. The MA(q) process, which is an extension of the MA(1) process mentioned by Liao and Chen (2006), is applied to the valuation of reset options in t...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/70282345834206600159 |