The Study of Volatility Smile by System Dynamics Methodology – Using Equity Options As an Example
碩士 === 東海大學 === 企業管理學系碩士班 === 101 === Since 1973, the Black-Scholes model invented has made a major breakthrough on European stock options. Most of the modern financial engineering leverage by the model. If the model is true, the implied volatility at different strike prices should be a single const...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/4wfndj |