Option Pricing with Variance-Dependent Pricing Kernel under Multiple Volatility Components Model
碩士 === 東吳大學 === 財務工程與精算數學系 === 102 === We take a similar form of pricing kernel which developed by Christoffersen et al (2013) to extend the multiple volatility components model. By that way, we can obtain a more elaborate model which also explains some puzzles in the market. Apart from that, a surp...
| 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/b6rq33 |