Options Pricing under Jump-Diffusion Models with Serially Correlated Jumps
博士 === 國立臺灣科技大學 === 財務金融研究所 === 103 === This dissertation considers two extensions of jump-diffusion models to incorporate the serially correlated jump sizes and discusses their applications in options pricing and hedging portfolios. In the first part of this study, we propose a jump-diffusion model...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/25955359095962101333 |