The Complexity of GARCH Option Pricing Models
碩士 === 國立臺灣大學 === 資訊管理學研究所 === 97 === When building trees to price options, we often increase the number of partitions per day, n , to improve accuracy. But increasing n often lowers efficiency. Under LARCH, raising n makes the GARCH tree grow exponentially. Lyuu and Wu (2005) prove that the criteri...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/49889750938557552622 |