Option Valuation with U-shaped Pricing Kernel under Two-Factor Volatility Model

Thesis

Kao, Yu-Chun.

Masters, 國立清華大學, 計量財務金融系

2016

Abstract

訂價核

選擇權定價

倆因子模型

規模因子

EM演算法

pricing kernel

option valuation

two-factor volatility components model

scaling factor

EM algorithm

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Title: Option Valuation with U-shaped Pricing Kernel under Two-Factor Volatility Model
Translated title: Option Valuation with U-shaped Pricing Kernel under Two-Factor Volatility Model
Creators: Kao, Yu-Chun.
Contributors: Tsai, Tzu-Hao (Advisor)
Awarding Institution: 國立清華大學, 計量財務金融系; Masters
Theses and Dissertations: Masters, 國立清華大學, 計量財務金融系
Language: English
Resource Type: Thesis
Date published: 2017