EmpiricalPerformanceofAlternativePricingModelsonFTSE100IndexFuturesOptions

EmpiricalPerformanceofAlternativePricingModelsonFTSE100IndexFuturesOptions

碩士 === 國立中正大學 === 財務金融研究所 === 90 ===

Bibliographic Details
Main Authors:	JY Chen, 陳佳裕
Other Authors:	An-Sing Chen
Format:	Others
Language:	en_US
Published:	2002
Online Access:	http://ndltd.ncl.edu.tw/handle/82394167004760203745

Similar Items

Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options
by: Rehnby, Nicklas
Published: (2017)

PricingFTSE100IndexOptionsUnderGARCHOptionValuationModel
by: 林裕崇
Published: (2002)

Option pricing under stochastic volatility for S & P 500 FTSE 100 index options
by: Lin, Nicole Yueh-Neng
Published: (1999)

Parametric Estimation of State-Price Densities in FTSE 100 Index Ftures Options
by: Wen-Liu Chou, et al.
Published: (2002)

Price discovery in the FTSE 100 index and FTSE 100 futures contract : the impact of electronic trading systems
by: Sebastiao, Helder Miguel Correia Virtuoso
Published: (2007)

Forecasting Intraday Profits Using FTSE 100 Index Options
by: Hsuan-Yi Yu, et al.
Published: (2007)

An Empirical Investigation of FTSE 100 ESX and S&P 500 SPX Equity Index Option Returns
by: O'Brien, Fergal G.
Published: (2007)

An Application of Closed-Form GARCH Option Pricing Model to FTSE 100 Options and Volatilities
by: Ming-Da Chen, et al.
Published: (2006)

Essays on FTSE-100 volatility and options valuation
by: Areal, Nelson Manuel de Pinho BrandaÌƒo da Costa
Published: (2006)

Volatility Risk Premium in Delta-Hedged Gains—Empirical Study of the Case of FTSE 100 Index Options
by: 林岳賢
Published: (2004)

New evidence on the price and liquidity effect of the FTSE100 index revisions.
by: Mazouz, Khelifa, et al.
Published: (2009)

Shariah-compliant index derived from the FTSE100 vs. FTSE 100: 2003-2014 performance comparison
by: Moosagie, Basheer Ahmed
Published: (2015)

Trading FTSE 100 Index Options Using Skewness and Variable-kurtosis model with Past Index Return
by: Shang-wun Chen, et al.
Published: (2008)

Issues in stock index futures trading : evidence for the FTSE-100 and FTSE-mid 250 contacts
by: Butterworth, Darren David
Published: (1998)

Analysis of Residuals for Accelerated Failure Time Models：On Mortgage Loan Data
by: Chia-Yin Lin, et al.
Published: (2007)

The predictability and performance of the market volatility forecast implied by the premiums of FTSE100 index option contracts
by: Jones, Greg
Published: (1999)

The Comparisons between Three Option Pricing Models and Black-Scholes Formula in Pricing Performance and Trading Strategy: Evidence from the FTSE 100 Options
by: Chia-Ho Han, et al.
Published: (2008)

Stochastic clocks in real-time financial markets : Empirical anlysis on FTSE 100 index futures
by: Fuentes, Rafael alejandro Velasco
Published: (2009)

The price effects of FTSE100 index revision: What drives the long-term abnormal return reversal?
by: Mazouz, Khelifa, et al.
Published: (2009)

The Effectiveness of Bollinger Bands Strategies: FTSE TWSE Taiwan Mid-Cap 100 Index
by: HUANG,YU-CHIA, et al.
Published: (2018)

THE EX-DIVIDEND DAY STOCK PRICE BEHAVIOR : FTSE 100 of the London Stock Exchange
by: Anagho, Zillah, et al.
Published: (2007)

A comparison of density forecast performance for FTSE100
by: Liu, Shueh-Chien, et al.
Published: (2017)

Random walks vs. mean reversion models : predictability in the FTSE 100 and the USM share price indices
by: Gavridis, Michael
Published: (1995)

ENVIRONMENTAL REPORTING AND CORPORATE GOVERANANCE FOR FTSE 100 LISTED COMPANIES
by: IENCIU IONEL-ALIN
Published: (2012-12-01)

Empirical Study on the Investment Performanceof Firm Reputation Value and Brand Value
by: Hsiao-Tien Lin, et al.
Published: (2012)

Probability distribution of returns in Heston model for index prices of FTSE Bursa Malaysia KLCI
by: Tey, Seah Ying
Published: (2012)

The ethical index FTSE4Good Ibex as an alternative for passive portfolio strategies in Spain
by: Espinós-Vañó, María Dolores, et al.
Published: (2018-01-01)

Market efficiency & arbitrage opportunities in the FTSE-100 option market : an application on the Put-Call Parity with high frequency data
by: Frangoulis, Paris P.
Published: (1999)

Option pricing and volatility : theory and application to FT-SE 100 Index options
by: Ncube, Mthuli
Published: (1991)

The effect of trading system on volatility of FTSE100 stock index and stock index futures markets:bivariate ARJI-GARCH model
by: Szu-yu Chen, et al.
Published: (2007)

The Study of Factors Influencing the Performanceof Distributor
by: Hsuan-Ju Kuo, et al.
Published: (2006)

CapitalStructureandFinancialPerformanceofRetailFirms:EmpiricalEvidencefromSouthAfrica
by: Shaa’ista Mukaddam, et al.
Published: (2020-10-01)

Comparison of the Global, Local and Semi-Local Chaotic Prediction Methods for Stock Markets: The Case of FTSE-100 Index
by: Ayşe İşi, et al.
Published: (2019-12-01)

On the Estimation and Prediction the Volatility of S&P500, NIKKEI225 and FTSE100 stock index with CARR-MIDAS Model
by: Ming-Chun Chou, et al.
Published: (2012)

Effects of final dividend announcements on share prices of companies of the FTSE/JSE Top 40 index
by: Coetzee, Alisha
Published: (2014)

Statistical arbitrage on the FTSE/JSE TOP 40 index
by: Ngcobo-Koyana, Mandlenkosi Svato
Published: (2017)

A Study of Grey Theory on Improving the Investment Performance of Technical Analysis Index－An Example of the London FTSE 100 Index’s Component Stocks
by: Lee,Chiao-Mi, et al.

A Study of Grey Theory on Improving the Investment Performance of Technical Analysis Index－An Example of the London FTSE 100 Index’s Component Stocks
by: Lee,Chiao-Mi, et al.
Published: (2009)

Can algorithmic trading beat the market? : An experiment with S&P 500, FTSE 100, OMX Stockholm 30 Index
by: Kiselev, Ilya
Published: (2012)

Corporate Sustainability Indexes: FTSE 4 Good Index Report on Nestle
by: Gülay Keskin, et al.
Published: (2018-04-01)

Cannot write session to /tmp/vufind_sessions/sess_gn41u9pq4cucsdaih0ttn557nj