The Comparison of BS Option Pricing Model and GARCH Option Pricing Model in Index Options
碩士 === 國立臺北大學 === 統計學系 === 98 === Options have been playing an important role in real financial market since the first option had traded. However, it is a major subject that how the rational price of options had been made. Black & Scholes (1973) set up the landmark of option pricing after they p...
Main Authors: | LUO, SHAN-MING, 羅善明 |
---|---|
Other Authors: | LEE, MONG-HONG |
Format: | Others |
Language: | zh-TW |
Published: |
2010
|
Online Access: | http://ndltd.ncl.edu.tw/handle/58041960664220628803 |
Similar Items
-
Pricing of Barrier Option ─ Using GARCH Option Pricing Model
by: Yun Wen, Chen, et al.
Published: (2004) -
A Comparison on GARCH Option Pricing Models
by: LEE, CHIA-YU, et al.
Published: (2017) -
The Complexity of GARCH Option Pricing Models
by: Ying-Chieh Chen, et al.
Published: (2009) -
On The NIG-GARCH Option Pricing Model
by: Chao-Hui Huang, et al.
Published: (2005) -
Liquidity on GARCH Option Pricing
by: Kai-Ming Cheng, et al.
Published: (2008)