TAIEX option pricing : A semiparametric GARCH model approach
碩士 === 國立臺北大學 === 統計學系 === 103 === This study focuses on TAIEX option pricing by using a semiparametric GARCH approach. This method has been proposed by Alexandru M. Badescu and Reg J. Kulperger (2008) to price S&P500 Index option. Instead of assuming a specific parametric distribution for the d...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/24777499953810448134 |