Modeling Taiwan Stock Index Option Return Using EGARCH Models
碩士 === 逢甲大學 === 統計學系統計與精算碩士班 === 102 === To overcome the constraint about closed-form solution and fixed point of time under Black-Scholes equation, Generalized Autoregression Conditional Heteroscedasticity (GARCH) model becomes one of the feasible methods to be applied on fitness of volatility. Bas...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/58845227013808357705 |