VaR of TAIEX Index Option with Liquidity Risk
碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 94 === In so far as I know, current literature on the Value-at-Risk (VaR) of option positions seldom takes account of liquidity problems. For Taiwan stocks and stock options, there are two kinds of liquidity problems: the exogenous liquidity risk resulted from the...
| 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/82955371856821810693 |