The Application of Copula Method for Pricing the Moving Average Exchange Option
碩士 === 輔仁大學 === 金融研究所 === 96 === Moving-average exchange option is an exotic option which combines exchange option with Asian option, its payoff is the distance between two asset’s moving-average price. Chien Jung-Chin(2007) uses Monte Carlo Simulation to evaluate this option, which assumes the retu...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/61635293637930374379 |