An Empirical Study on the Pattern of Taiwan Stock Index Options’ Implied Volatility
碩士 === 逢甲大學 === 經營管理碩士在職專班 === 94 === This thesis is to analyze the implied volatility pattern of Taiwan stock index options. By using a revised OLS model of Ncube (1996), it is found that there exists volatility smile for the call options when the 2005 year data is employed. However, the implied vo...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/22940452047603316832 |