The Performance of Trading Strategies Based onDeviations from Put-Call Parity of Stock Options
碩士 === 中原大學 === 財務金融研究所 === 107 === According to Cremers and Weinbaum (2010), I compute the implied volatility spread by option put-call parity theory. Then, I build strategy based on implied volatility spread, and compares it with OS, 52-week high, and contrary investment strategies to explore whet...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/78n24p |