The Predictive Ability of TAIEX Option Volatility Smirk for TAIEX Return
碩士 === 國立屏東科技大學 === 財務金融研究所 === 99 === In recent years, the volatility smile pattern changed, it was into a negative slope pattern with strike price rise that’s the volatility smirk. In this paper , to understand what is the impact for the pattern changing of volatility smile, and it implemented the...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/50410640987490489536 |