The Study on the Idiosyncratic Volatility Premium：The Case of Taiwan Stock Index Option
碩士 === 東海大學 === 財務金融學系 === 103 === This paper mainly based on Kang(2014) and Bakshi(2003), using three year’s data(2012 to 2014) of Taiwan Stock Exchange Capitalization Weighted Stock Index Options(TXO). This paper using Arbitrage Pricing Theory(APT) account volatility (this paper called Idiosyncrat...
| 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/cgn79x |