An Empirical Analysis of the Forecasting Performance of Implied Volatility on TAIEX Options
碩士 === 淡江大學 === 財務金融學系碩士班 === 95 === In 2003, Chicago Board Option Exchange (CBOE) introduced the new volatility index VIX based on model free implied volatility. The VIX was soon noticed by the markets and widely applied in volatility forecasting because of its simplicity of demanding no pricing mo...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/02636525098445408859 |