The Least Square Monte Carlo method for American Options with GARCH Stock Price Process
碩士 === 靜宜大學 === 應用數學研究所 === 97 === This study is interested in pricing American options under GARCH model for asset price. The option pricing under GARCH model is proposed by Duan(1995). Since there is no closed form solution under GARCH model, numerical procedure in necessary for options valuation....
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/pmjy6s |