An Investigation into the Efficiency of the Taiwan Index Options Market Using Delta Hedging Strategy
碩士 === 國立虎尾科技大學 === 經營管理研究所在職專班 === 99 === In this paper we have researched index options and futures data in the Taiwan market in the years from 2005 to 2009. Using different maturity dates (five days, ten days, fifteen days and twenty days) and different hedging strategies (not hedging, static hed...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/4t8246 |