A Modified Method of Generalized Static Hedging
碩士 === 國立交通大學 === 財務金融研究所 === 103 === The purpose of this thesis is to construct an effective method to evaluate the value of barrier options under Heston’s stochastic volatility model. We refer to Fink’s static replication method (2003) and the modified DEK static replication approach provided by C...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/41533416034777315592 |