Three essays on non-parametric pseudo random disturbance simulations and Monte Carlo approach
博士 === 國立中央大學 === 企業管理研究所 === 99 === This paper utilized a proposed historical simulation, where the effects of a GARCH (1,1) model on an asset’s price path were considered. The Monte Carlo approach was also used to examine the difference in option payoff values between the simulation approaches and...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/62954273244762657897 |