An Empirical Analysis of Option Hedging in the Daily Price Limit Market
碩士 === 國立交通大學 === 財務金融研究所 === 100 === This paper implements a vega adjustment to the price limit model and examines the effect on the performance of standard delta hedging of vanilla options on the stocks of TSE. The vega adjustment has been a widely important practical application. The same adjustm...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/39475199678215110750 |