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: | Yen-ju Chen, 陳彥汝 |
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Other Authors: | Wen-yan shiu |
Format: | Others |
Language: | zh-TW |
Published: |
2006
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Online Access: | http://ndltd.ncl.edu.tw/handle/22940452047603316832 |
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