An Empirical Investigation of the Option Pricing Model: Hedging Performance in Taiwan Index Option Market
碩士 === 國立嘉義大學 === 管理研究所 === 93 === This study compares the pricing and hedging performance of historical volatility model, implied volatility model, EGARCH (1,1) model and Ad hoc BS model for the Taiwan Index Option(TXO) from December 24, 2001 to December 31, 2004. The empirical results are followin...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/30596487083453995359 |