An Empirical Test of Pricing Volatility Smile
碩士 === 東海大學 === 財務金融學系 === 97 === This paper proposes implied deterministic volatility function (IVF) by using simple regressions as the function of money and time to maturity to seek the best model for the pattern of volatility smile in the HJM model. Moreover, using the IVF both in HJM model and a...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/50239047867313291271 |