波动率在garch11模型下的权证定价理论及实证研究-warrant pricing theory and empirical research on volatility under garch 11 model.docxVIP

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波动率在garch11模型下的权证定价理论及实证研究-warrant pricing theory and empirical research on volatility under garch 11 model.docx

波动率在garch11模型下的权证定价理论及实证研究-warrant pricing theory and empirical research on volatility under garch 11 model

⑧硕士学位论文MASTERtSTHESISAbstractn璩volatilityofstockpriceisadecisivefactorinderivativespricing．BlackScholesgivenEuropeanoptionpricingformulaprice，whoseimportantassumptionsisthatstockpriceobeyinggeometryBrownianmotioninanon-arbitrageanalysisandthevolatilityisaconstant．However,moreandmoreempiricalresultsshowthatthestockyieldexistsignificantlyhighkurtosisandfat-tailed，generallydifficulttodescribethenormaldistribution,andthevolatilitymarkedvariabilitycharacteristies．Therefore,therelaxationofstockpricevolatilityconstantissignificanceforthestudyofthewarrantspricingInthispaper,amorepracticalapplicationva

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波动率在garch11模型下的权证定价理论及实证研究-warrant pricing theory and empirical research on volatility under garch 11 model.docxVIP