Negative Volatility Risk Premium: Evidence from the LIFFE Equity Options
博士 === 國立臺灣科技大學 === 企業管理系 === 97 === As evinced by non-normal stylized characteristics in equity returns, this study adopts a moment-adjusted option pricing model (Corrado and Su, 1996) to extract volatility risk premia from LIFFE equity option prices. We incorporate the moment-adjusted option delta...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/34292307101892878062 |