The Algorithms for Valuing American Style Multivariate Contingent Claims: Applications for ESO and other Derivatives
博士 === 國立中央大學 === 財務金融研究所 === 95 === This dissertation develops three numerical algorithms for pricing European and American multivariate contingent claims. One approach is a multivariate transformed trinomial model. This model is an extension of the Camara and Chung (2006) transformed-binomial mode...
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| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/34873660559407067651 |