Deviations from Put-Call-Futures Parity and Price Discovery
碩士 === 國立中興大學 === 財務金融系所 === 97 === Deviations from put-call-futures parity contain information about asset prices and market movements. Using the difference in implied volatility between call and put options, named implied volatility spread, we find the significant relationships between the deviati...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/41651265136375153081 |