Implied Volatility Skew of ETF Option, Return and Volatility
碩士 === 逢甲大學 === 財務金融學系 === 107 === This paper examines the relationship between the implied volatility skew of the China 50 ETF options and the returns and volatility of its underlying index ETF. We separately employ the methods of Yan (2010) and Mixon (2011) to abstract the implied volatility skew...
| 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/b32auq |