Stylized Empirical Features of Asset Return and American Option pricing under time-changed Lévy processes
This paper evaluates the American put options under the assumptions the underlying stock return is non-normally distributed.
第八十四期
第八十四期
三月, 2014
東吳經濟商學學報
Empirical Performance of Covered-Call Strategy under Stochastic Volatility in Taiwan
This study examines the performances of conventional strategy and dynamic covered- call strategies, including constant and stochastic volatilities environments in Taiwan.
法拍屋貸款授信違約研究 -考量投資客特性之判斷模型
本研究除了傳統的銀行授信基本變數、法拍屋特徵變數外，進一步將投資 客特徵相關變數，加入模型來建構邏輯斯迴歸模型，可以有效提高整體模型準 確率。