Local Volatility Forecasts from Implied Volatility Surfaces
碩士 === 國立成功大學 === 財務金融研究所 === 95 === The major objective of this paper is to investigate the predictive ability of the one-factor stochastic volatility model by extracting helpful information from the implied volatility surface. This model is compared to the GARCH (1, 1) model with respect to foreca...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/00708201689633290780 |