Value-at-Risk of Option under GARCH Model
碩士 === 東吳大學 === 商用數學系 === 91 === In 1973, Black and Scholes developed the famous Black-Scholes option pricing model to price the options related derivatives. The assumption of constant volatility in Black-Scholes model has been shown inconsistent with the market behavior in most empirical studies. I...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/56398909199872081414 |