Using Stock and Options Data to Estimate the GARCH Options Pricing Model
博士 === 國立臺灣大學 === 財務金融學研究所 === 99 === This study derives asymptotic characteristics of GARCH(1,1) options price model estimators when using stock data only (ST), using option data only (OT), and using stock and options data with (S+O+E) or without an error term (S+O). The asymptotic variance in larg...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/35989769453159655149 |