Parameter Analysis of Index Option: Application of Merton-Jump-Copula Model
碩士 === 國立高雄第一科技大學 === 金融理財研究所 === 99 === In this paper, A Merton-Jump-Copula Model is used to price Taiwan Stock Exchange Financial Sector Index Option (TFO). The exercise TFO option is European style, with daily price limit of +/- 7% of previous day’s closing price of underlying index. We also cons...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/37273200860897912760 |