Building a Consistent Pricing Model from Observed Option Prices via Linear Programming
碩士 === 國立政治大學 === 應用數學研究所 === 93 === This thesis investigates how to recover the risk-neutral probability (equivalent martingale measure) from observed market prices of options. It starts with building an arbitrage model of options portfolio in which the options are assumed to be in one-period time,...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/02827708783167579966 |