VIX Volatility Wavelet-CEV Model-----Using Regime Switching and Wavelet Analysis
碩士 === 國立交通大學 === 財務金融研究所 === 93 === The purpose of this research is to model the volatility index, VIX, formulated by CBOE using the concept of Regime Switching and piecewise linear structure. I adopt the Wavelet analysis to inspect the properties of CEV parameters in the stochastic volatility mode...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/98824892123640019643 |