A Replication Method of Generalized Static Hedging of Pricing American Options
碩士 === 國立交通大學 === 財務金融研究所 === 104 === This paper use static hedge portfolio of Derman et al.(1995) to construct an efficient method to evaluate American style option under Heston’s stochastic volatility model. We also refer to Fink (2003) static replication approach and static hedging and pricing Am...
| 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/vf442x |