Application of CARR and realized volatility in TAIEX Options
碩士 === 銘傳大學 === 財務金融學系碩士班 === 96 === This study introduces a variety of volatility estimation methods, in-cluding historical volatility, implied volatility, VIX, GARCH, CARR (Chou, 2005) and realized volatility (Andersen, Bollerslev and Diebold, 2001), to assess and compare the accuracy of pricing T...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/zf4a6g |