An Empirical Study on Implied GARCH Models
碩士 === 國立高雄大學 === 統計學研究所 === 99 === In this paper, we use an empirical study to investigate the performance of implied GARCH models in pricing S&P500 index options during January 2, 2003 and June 30, 2009. Two popular change of measure processes, the Esscher transform (Gerber and Shiu, 1994) and...
| 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/04364811526450279660 |