Analytical Solutions and Empirical Studies for Callable Bull and Bear Contracts with Skewness and Kurtosis Features
碩士 === 東吳大學 === 財務工程與精算數學系 === 102 === We integrate the barrier option pricing model of Merton (1973), the digital option pricing model of Reiner and Rubinstein (1991), and the work of Backus et al. (2004) for developing analytical solutions of Callable Bull and Bear Contracts (CBBC) with skewness a...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/27530722053106501096 |