Constructing an Efficient Double-threshold Cointegration Modeland Analyzing on the Causality of Options Volatility Index and Corresponding Underlying Asset: the High-frequency DataAnalysis of the KOSPI200 and Index Options
碩士 === 銘傳大學 === 財務金融學系碩士班 === 93 === Abstracts Recently, it has been academically confirmed that options market exhibit over-reaction, a consequence of heuristic-driven bias. Lots of academic scholars believe that option prices are not simply determined by arbitrage and that therefore prices are not...
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| Format: | Others |
| Language: | zh-TW |
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2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/qc5bfr |