Trading FTSE 100 Index Options Using Skewness and Variable-kurtosis model with Past Index Return
碩士 === 國立中正大學 === 財務金融所 === 96 === The purpose of this paper is to provide a profitable trading strategy for intraday trading. We consider the pricing errors, past index return and profits to do the 3D analysis to construct our trading rules. Using the five models which are the BS model, the general...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/13074411383092376080 |