The Value-at-Risk of GARCH modeling on Taiwan Electronic Option and Taiwan Financial Option.
碩士 === 國立中正大學 === 應用數學研究所 === 96 === In this thesis, we introduce the GARCH and the Black-Scholes model. We will discuss how well these models perform on the Taiwan Electronic Option and Taiwan Financial Option via the concept of Value at Risk.
| 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/43077547160393083689 |