The Comparisons between Three Option Pricing Models and Black-Scholes Formula in Pricing Performance and Trading Strategy: Evidence from the FTSE 100 Options
碩士 === 國立中正大學 === 財務金融所 === 96 === In this paper, I make comparisons between SVSI-J (SV, SVJ), SGT (T, PE, LP), Weibull option pricing models and BS formula in pricing performance and trading strategy. The dataset is FTSE 100 options from 2, January 2002 to 31, December 2004. In the parameters esti...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2008
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/02266190038783682458 |