Option Pricings by Using Autoregressive Conditional Heteroskedastic Variance and Skewness Models
碩士 === 長庚大學 === 工商管理學系 === 99 === In our paper, we use Autoregressive Conditional Heteroskedastic Variance and Skewness Model to price TXO options. In order to improve the efficiency of compute. The model is estimated assuming a Gram–Charlier (GC) series expansion of the normal density function for...
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| Format: | Others |
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2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/18625431098738628117 |