by Veronica Ho Pui Kwan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 99-103). / Prologue --- p.1 / Chapter Essay I: --- Examination of the GARCH Option Pricing Model in the case of Hang Seng Index Option / Chapter 1. --- Introduction --- p.4 / Chapter 2. --- Holes' in the Black-Scholes Model --- p.7 / Chapter 3. --- A Big 'Hole' -- Varying Volatility --- p.14 / Chapter 4. --- A Remedy : the GARCH Option Pricing Model --- p.31 / Chapter 5. --- Research Methodology and Data --- p.38 / Chapter 6. --- Empirical Results --- p.50 / Chapter 7. --- Conclusion --- p.67 / Chapter Essay II: --- Barrier Options / Chapter 1. --- Introduction on Barrier Option --- p.70 / Chapter 2. --- Pricing Models --- p.74 / Chapter 3. --- Hedging of Barrier Option --- p.81 / Chapter 4. --- Examination of a Down-and-Out Put Option --- p.88 / References --- p.99
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_322699 |
| Date | January 1997 |
| Contributors | Ho, Veronica Pui Kwan., Chinese University of Hong Kong Graduate School. Division of Business Administration. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, 103 leaves : ill. ; 30 cm. |
| Coverage | China, Hong Kong, China, Hong Kong |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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