Forward Information from Model-Free Implied Volatility Spread
碩士 === 國立中央大學 === 財務金融研究所 === 96 === In this article, we use the contract prices of S&P 500 index option to calculate the model-free implied volatility of call and put respectively, and define the Model-Free Implied Volatility Spread, MFIVS. We then explore MFIVS’s ability in the price discovery...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/49333748847265248346 |