Value the GARCH Option applying the Modified Ritchken and Trevor tree
碩士 === 國立交通大學 === 財務金融研究所 === 96 === Evaluating stock option price with traditional predictive techniques have proven to be difficult. GARCH option pricing model proposed by Duan has been proven to be more suitable for the task. BS model have so many assumptions that it cannot be suitable in some ex...
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| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/78960695910678239955 |