Option Pricing under Model Uncertainty
碩士 === 國立臺灣大學 === 國際企業學研究所 === 93 === The main purpose of this thesis is to find out the way to price option when the model uncertainty exists in the market. First, we construct a one-period model with a representative agent who is uncertainty aversion. Then, we use the maxmin approach to derive the...
| 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/29275389838577481614 |