Bivariate Options Pricing with Copula-GARCH Model- Simulation Analysis
碩士 === 國立臺灣大學 === 財務金融學研究所 === 97 === Bivariate option is the contingent claims derives from a pair of underlying assets. The underlying assets can be equity, commodities, foreign exchange rate, interest rate or any index with quotations. In this paper, we present a copula-GARCH model and the Monte...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/45224192346235938953 |