Pricing Dyanmic Guaranteed Funds Under a Double Exponential Jump Diffusion Process
碩士 === 國立中央大學 === 財務金融研究所 === 97 === This paper complements the extant literature to evaluate the prices of dynamic guaranteed funds when the price of underlying naked fund follows a double exponential jump-diffusion process. We first derive the closed-form solution for the Laplace transform of dyna...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/45840026359883119130 |