Trading Strategies and Distance Analysis for the SVJ, the SV, the SGT, and the ST Models
碩士 === 國立中正大學 === 財務金融所 === 96 === In this article I focus on constructing profitable trading strategies and distance tests for four common extensions of the Black-Scholes option pricing model, namely the stochastic-volatility jump-diffusion (SVJ), the stochastic-volatility (SV), the skewed generali...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/08422357226690837247 |