A study on the smile of TXO by arbitrage strategies
碩士 === 國立屏東科技大學 === 財務金融研究所 === 96 === B-S implied volatility is the volatility implied by the market price of the option based on Black-Scholes model. The importance of implied volatility is like the value of option for option contract. Real implied volatility curve is thought to be a horizontal li...
Main Authors: | Tsao Li-Chieh, 曹立杰 |
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Other Authors: | Pan Ging-Ginq |
Format: | Others |
Language: | zh-TW |
Published: |
2008
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Online Access: | http://ndltd.ncl.edu.tw/handle/46256301898437180146 |
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