Is Mean Reversion Embedded into Implied Volatility?
碩士 === 朝陽科技大學 === 財務金融系碩士班 === 97 === This paper examines whether implied volatility smile derived by Black and Scholes options pricing model includes mean reversion. In addition, we consider whether mean reversion explains a change in the implied volatility smile. Finally, we analyze that the impli...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/67785014481545836018 |