The informational content of implied volatility, skewness and kurtosis:The empirical evidence from TAIEX options
碩士 === 國立臺灣科技大學 === 財務金融研究所 === 95 === This paper addresses the informational content of option-implied volatility, skewness, and kurtosis. Using data from Taiwan futures options markets, we use implied risk-neutral distributions derived via the original Black/Scholes model, the Gram/Charlier series...
| 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/tg5zhg |