ARMA Option Pricing Models - Theoretical and Empirical Perspectives
博士 === 國立高雄第一科技大學 === 管理研究所 === 97 === Motivated by the empirical findings that asset returns or volatilities are predictable, this paper studies the pricing of European options on the stock or volatility, the log-price changes of which depend upon an autoregressive moving average (ARMA) process. Un...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/73705541931581173362 |