The Determinants of the Slope of implied Volatility Skew and Risk-Neutral Distribution Implied in Equity Options
博士 === 國立臺灣科技大學 === 企業管理系 === 95 === The aim of this study is to investigate the structure and characteristics of the implied volatility smile, and the determinants of the slope of implied volatility skew, using prices of individual equity and FTSE 100 index options traded on LIFFE. Several interest...
| 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/eqhpw2 |