The Model-Free Implied Volatility and Its Information Content
碩士 === 國立屏東科技大學 === 財務金融研究所 === 97 === In general, the B-S model supposes the volatility is constant but the B-S implied volatility has volatility smile phenomenon. Because there is volatility smile phenomenon in B-S model that some studies address model-free volatility model. Therefore, the purpose...
| 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/94882234282919486974 |