Dynamic Implied Volatility Functions in Taiwan Options Market
博士 === 國立政治大學 === 金融研究所 === 97 === This paper proposes a new implied volatility function to facilitate implied volatility forecasting and option pricing. This function specifically takes the time variation in the option implied volatility into account. Our model considers the time-variant part and...
| 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/39768547629423440825 |