The assessment of pricing quality for the jump-diffusion models and the pure jump option pricing model:Evidence from the Taiwan stock options
碩士 === 國立中正大學 === 財務金融所 === 98 === Abstract The purpose of this paper is to fill the gap of the comparisons of the jump-diffusion models (SV and SVJ models) and the pure jump model (Variance gamma model.) We not only compare the pricing performance and also the trading performance of each innovative...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/65179929808728246167 |