Canonical Valuation and Hedging of Taiwan Stock Index options
碩士 === 淡江大學 === 產業經濟學系博士班 === 96 === This study applies nonparametric Canonical Valuation to TAIEX options, adds constraint to the model, and uses futures as the underlying of TAIEX options, in order to investigate the performance of option pricing and hedging. We find the returns of futures violent...
| 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/09541695252583714614 |