The Valuation and Value at Risk on TAIEX Options
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 95 === In this paper、we take advantage of Historical Volatility model(HV model)、Exponential Weighted Moving Average(EWMA model) and Generalized Auto Regression Conditional Heteroskedastic(GARCH model) to estimate volatility of option and the estimated values are inc...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/21246243838436956639 |