Empirical Perormance of the Variance Gamma Option Pricing Moadel
碩士 === 國立中正大學 === 財務金融所 === 94 === Abstract This paper tests the performance of Factor Models( vgsi ) of Carr and Madan (2000) that is a variance gamma option pricing model with a different view. We argue that the larger the pricing error, the more successful a model might be. Because the potential...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/00761878805354577301 |