Empirical Study of factor of Implied Volatility Surface Change by PCA
碩士 === 國立臺灣科技大學 === 財務金融研究所 === 92 === This paper uses the Principal Component Analysis (PCA) to finding out the daily change factor which cause for TXO implied volatility surface. These changes are regressed on innovations in a number of market variables to relate implied volatility to the larger e...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/06668925238571111826 |