On Bivariate Lattices for Option Pricing under Stochastic Volatility Models
碩士 === 臺灣大學 === 資訊工程學研究所 === 98 === The bivariate binomial framework of Hilliard and Schwartz (1996) allows non-zero correlation between the stochastic volatility and the underlying process. It can also be used to value American options. This thesis points out the problems with their bivariate binom...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/71189564722535471380 |