An Empirical Study on the Model-Free Implied Volatility-The case of Taiwan Stock Index Option
碩士 === 東海大學 === 財務金融學系 === 103 === Since the Britten-Jones and Neuberger (2000) proposed the model-free implied volatility. Jian and Tian (2005) test ability of model-free implied volatility by using S&P 500 option. In the past, the BS model has model misspecification error. For this reason, thi...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/dcvba8 |