Pricing American Options under Stochastic Volatility Using Approximate Exercise Surface
碩士 === 國立臺灣大學 === 財務金融學研究所 === 107 === Heston''s model not only relaxes Black-Scholes''s fixed volatility assumptions, but also reflects empirical situations, such as fat return tails, volatility clustering, etc. Moreover, Heston''s models provid...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/puj4t3 |