On the Construction of Trees for Local-Volatility Models
博士 === 國立臺灣大學 === 資訊工程學研究所 === 105 === The local-volatility (LV) model for option pricing assumes the instantaneous volatility is a function of the stock price and time. This model is popular because it captures the volatility smile observed in practice as well as retains the preference freedom of t...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/nf5rcn |