Pricing Barrier Options by Static Replication and Repeated Richardson Extrapolation under the CEV Model
碩士 === 國立交通大學 === 財務金融研究所 === 105 === In this paper, the author attempts to modify the performance of hedging barrier options with static replication approach proposed by Derman, Ergener, and Kani(1995, DEK) and extrapolation method distributed by Chang, Chung, Stapleton (2007) under the constant e...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2017
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/gv68da |