The Empirical Performance of the GARCH Option Pricing Model in Taiwan Market
碩士 === 國立交通大學 === 統計學研究所 === 92 === A central hypothesis of the Black-Scholes model is that the return on the underlying asset distributed log-normally with constant volatility. However, it has been widely recognized that financial asset return processes possess heavy-tailed marginal distributions a...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/7y6nz3 |