Margin System on Futures and Options markets—The Application of Value-at-Risk Model
碩士 === 淡江大學 === 財務金融學系 === 90 === This thesis studies the current VaR-based margin system on Taiwan futures and options markets. More efficient margin systems reduce the cost of market participants and promote the transactions. Historical simulation finds that the margin determination i...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/64820545864595826119 |