UTILIZATION OF GRAM-CHARLIER EXPANSIONS ON OPTION PRICING
On this thesis, the option is calculated by using the Gram-Charlier expansion, which the Gram-Charlier expansion to approximate the density function of stock price returns. The results of this approximation is used to calculate the implied volatility by strike price and maturity time. In addition, t...
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| 格式: | Theses |
| 語言: | Indonesia |
| 在線閱讀: | https://digilib.itb.ac.id/gdl/view/16400 |
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