The Impact of Stylized Facts of Asset Return and Counterparty Risk on Derivative Pricing
博士 === 國立政治大學 === 金融學系 === 104 === In the traditional models such as geometric Brownian motion model or the Merton jump diffusion model can’t fully depict the distributions of return for financial securities and the those return always have heavy tail and leptokurtic phenomena due to the price jump...
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| Format: | Others |
| Language: | en_US |
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2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/87308184511718968929 |
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