Did option traders predict the crash from the volatility skewness？Evidence in Taiwan and U.S. markets.
碩士 === 朝陽科技大學 === 財務金融系碩士班 === 96 === A priori one would expect stock market returns to show a left-skewed distribution: as the market falls, so it becomes more volatile. This paper examines how the skewness of the smile changes over time and whether that is either a prediction of market movements o...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/21811294484478813027 |