The information content of option implied volatility surrounding the Taiwan Stock Market
碩士 === 淡江大學 === 財務金融學系碩士班 === 96 === Britten-Jones and Neuberger(2000) derived the model-free implied volatility under the assumption that the price of underlying asset follows diffusion process. Jiang and Tian(2005) further extend the model-free implied volatility to asset price process with jumps....
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/60829740139380603829 |