Liquidity on GARCH Option Pricing
碩士 === 國立臺灣大學 === 財務金融學研究所 === 96 === Many empirical researches have indicated that the Black-Scholes option pricing model demonstrate systematic biases due to some unreasonable assumptions. In practice, Black-Scholes implied volatilities tend to vary depending on moneyness and time to maturities. I...
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/53880316693439430456 |