Analytical Solution for the American Options with Stochastic Volatility and Stochastic Interest Rate
碩士 === 東吳大學 === 財務工程與精算數學系 === 99 === This paper extends the works of Bakshi et al. (1997) and integrates the Richardson extrapolation technique of Huang et al. (1996) for developing analytical solution of American options with stochastic volatility and stochastic interest rate. By using large sampl...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/85248305379113556802 |