Examining The Efficiency Of The Intraday Data Of Various Strike Price Between Taiwan Index Options and Futures By Put-Call-Futures Parity
碩士 === 逢甲大學 === 經營管理碩士在職專班 === 93 === Abstract This thesis proposes a put-call-futures parity model with different exercise prices. The intraday tick data are from October 1, 2004 to March 31, 2005. This investigation uses 30 minutes closing prices of the Mini-TAIEX futures and the TAIEX call option...
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| Format: | Others |
| Language: | zh-TW |
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2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/82462702218016709432 |