Empirical Study of Relative Implied-Volatility Arbitrage Strategy with Taiwan Stock Index Options
碩士 === 國立交通大學 === 財務金融研究所 === 99 === Implied volatility has been used in arbitrage strategies of options for a long time but only for different contracts of one spot asset. Ammann and Herriger (2002) investigated the efficiency of markets as to the relative pricing of similar risk by using relative...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/87025233395374961607 |