Are Implied Volatilities Consistent with the Stochastic Properties of Underlying Asset Return? An Empirical Analyze on S&P 500 Index Options Market
碩士 === 國立成功大學 === 財務金融研究所 === 94 === This study is aimed to answer this question:” Are implied volatilities consistent with the stochastic properties of underlying asset return?” The importance of this study is that we make the comparison between actual implied volatilities and underlying return vol...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/06016705989473047422 |