A Market Model for Stochastic Implied Volatility and Volatility swap
碩士 === 國立中央大學 === 統計研究所 === 94 === In this paper a class of stochastic volatility models was presented that is based on model-free implied volatilities that are observed in the price of TX options, and identify the process that describes well the evolution of model-free implied volatility in continu...
| 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/59znh6 |