Variance Premium and Option Valuation with U-Shaped Pricing Kernel under Two-Factor Volatility Components Model
碩士 === 國立清華大學 === 計量財務金融學系 === 104 === Based on GARCH models, the purpose of this paper is to extend the two-factor volatility components model by taking a U-shape pricing kernel which was developed by Christoffersen et al. (2013). By imposing the U-shaped pricing kernel, we surprisingly obtain a mo...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/91791438870610732422 |