A Static Hedging Strategy for Barrier Options Under Heston's Stochastic Volatility
碩士 === 國立交通大學 === 財務金融研究所 === 101 === The purpose of this thesis is to construct an effective method to evaluate the value of barrier options under Heston’s stochastic volatility assumption. The basis of our paper is to use vanilla options to reproduce of a down-and-out call based on the paper of Ca...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/14842540177315988391 |