A comparison of TAIEX Options volatility forecasting models
碩士 === 淡江大學 === 財務金融學系碩士班 === 97 === This paper use the data of TXO to compute VIX(volatility index), 30-day, 60-day, and 90-day Model-Free implied volatility and at-the-money Black–Scholes (B–S) implied volatility, forecasting the average implied volatility and underlying of TXO. In addition, we em...
| 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/29780679042961937851 |