Measuring the Lead-Lag Relationship between Taiwan Stock Index Option Market and Spot Market by Implied Volatility Spread
碩士 === 國防管理學院 === 國防財務資源研究所 === 91 === This study investigates the lead-lag relationships between the spot and the option markets on Taiwan Stock Index. We apply volatility spreads, the difference between implied volatilities of puts and calls, to explore their relationship. We predict that if the o...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/32216109045422970700 |