Essays on Implied Volatility of Individual Stock Options
博士 === 國立中央大學 === 財務金融研究所 === 96 === This study contains two essays in implied volatility of individual stock options. The first essay examines the effect of arbitrage risk on the slope of implied volatility curve for individual stock options. If arbitrage risk affects the slope of implied volatilit...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/r9cq47 |