An Application of Closed-Form GARCH Option Pricing Model to FTSE 100 Options and Volatilities
碩士 === 國立臺灣大學 === 財務金融學研究所 === 94 === Many empirical researches have indicated that the Black-Scholes option pricing model demonstrates systematic biases due to some unreasonable assumptions. In practice, Black-Scholes implied volatilities tend to differ across exercise prices and time to maturities...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/37555389543418927278 |