An Efficient GARCH Numerical Option Pricing Model
碩士 === 東吳大學 === 商用數學系 === 93 === We developed an efficient GARCH numerical option pricing model, which is proven to be better, both in accuracy and computational time, than the alternative methods proposed by Ritchken and Trevor (1999) and Cakici and Topyan (2000). The modified GARCH option pricing...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2005
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/95921125348494797351 |