On Bivariate Lattices for On Bivariate Lattices for Stochastic-Volatility Option Pricing Models
碩士 === 國立臺灣大學 === 財務金融學研究所 === 100 === Stochastic-volatility models are bivariate because they contain two stochastic processes, one for the underlying asset and the other the variance. Many such models have been proposed. An example is Hull and White’s (1987) stochastic-volatility model, which allo...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/31460630492546029404 |