The Pricing Performance of Markov Chain Option Pricing Algorithm on Barrier Options
碩士 === 銘傳大學 === 財務金融學系碩士班 === 93 === In this study we adapt the numerical method of Markov chain option pricing algorithm to price barrier warrants in Taiwan and compare it with the method of Rubinstein and Reiner（1991）. In theory Markov chain is more accurate and flexible , and the empirical result...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/c4e6v4 |