Valuing American Options under Jump Diffusion Model: Forward Monte Carlo Method
碩士 === 國立臺灣科技大學 === 財務金融研究所 === 102 === This study proposes an adjusted Forward Monte Carlo method for the pricing of American options. The main advantage of Forward Monte Carlo method is that it can determine whether the American option should be exercised or not when a stock price is simulated. It...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/cj6gy4 |