European Option Pricing with Stochastic Volatility, Stochastic Interest Rate and Jump Diffusion:Jump Range Restriction in Taiwan’s Stock Market
碩士 === 輔仁大學 === 數學系碩士班 === 104 === This paper presents a stochastic model which describe expected trend for Taiwan's stock market reasonably. The model is based on Louis O.Scott’s (1997) model structure but with two CIR (Cox–Ingersoll–Ross) models form on volatility and interest rate, and in th...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/01024562135580656505 |