Empirical Study of Volatility Risk Premium— The Cases of Taiwan Call Warrants
碩士 === 國立臺灣科技大學 === 財務金融研究所 === 92 === Recent study has indicated that options price a negative volatility risk premium, thus providing a reasonable explanation of why Black-Scholes implied volatilities of options exceed realized volatilities. In this paper, we examine the empirical implication of m...
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| Format: | Others |
| Language: | en_US |
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2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/25038495551168827115 |