Option Pricing with Markov Switching VAR Process
碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 97 === The purpose of this study is to investigate options which derivation from multivariate asset prices with Markov switching VAR(p). We employ the VARMA(p,q) model of Wang(2009) to obtain the option prices under risk neutral probability measure Q, Duan(1995), a...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2009
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/37353688316936288372 |