Pricing of Warrants ─An Application of GARCH-Jump Option Pricing Model
碩士 === 國立臺灣科技大學 === 管理學院MBA === 96 === The stochastic process of stock prices is a crucial issue for option valuations. The Black-Scholes option pricing model is based on the assumption that stock returns are generated by a continuous diffusion process. But their model exist some of restrictions tha...
| 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/39062133742832696714 |