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...

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Bibliographic Details
Main Authors: Kai-Ming Cheng, 鄭開明
Other Authors: Yong-Chern Su
Format: Others
Language:en_US
Published: 2008
Online Access:http://ndltd.ncl.edu.tw/handle/53880316693439430456