The buying pressure influence the change of implied volatility in the index option market: Are the mainly for hedgers in Taiwan index option market?
碩士 === 國立交通大學 === 管理科學系所 === 93 === According to the empirical model of Bollen and Whaley ( 2004 )，this paper adds the change of open interest which is often used for judging long or short in the index option market and examines the relationship between net buying pressure and the change of implied...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/28066734701573885091 |