标题:Study on Warrant Application under GARCH-Mote Carlo Algorithm
作者:Ruiyi LIU;Zengwen LIU;Fengxia WANG;
作者机构:[Ruiyi LIU;Zengwen LIU;Fengxia WANG]Shandong University
来源:Proceedings of 2015 International Conference on Social Science,Education Management and Sports Education(SSEMSE 2015)
出版年:2015
关键词:GARCH Model;Monte Carlo Algorithm;European Option;Option Pricing
摘要:In this paper, the GARCH(1,1) model is used for data modeling and forecasting. The GARCH(1,1) model is combined with the Mote Carlo(MC) algorithm to study European option pricing. The differences between the model data and the observed data are calculated by the GARCH-MC model. The GARCH-MC model is...
资源类型:会议论文
原文链接:http://kns.cnki.net/kns/detail/detail.aspx?FileName=XYSW201504001274&DbName=IPFD2016
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