An Analytical Approximation Solution for Currency Options under GARCH
碩士 === 東吳大學 === 商用數學系 === 96 === Currency option is one of the most important exchange rate risk hedging instruments. However, as the GARCH (generalized autoregressive conditional heteroskedasticity) effect inherent in the underlying exchange rates is extensively witnessed, no one addresses the anal...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/dvpq78 |