Pricing Swing Options within Stochastic Volatility Model by Least Square Monte Carlo
碩士 === 國立中正大學 === 財務金融研究所 === 100 === Some styling facts such as jumps, mean revering and especially stochastic volatility affects the price dynamics function of natural gas. This paper apply Bates (1996) stochastic volatility model to natural gas daily price volatility, and take advantage of multi-...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/47998572880264827115 |