Application of the Model-Free Implied Volatility to Value at Risk: Evidence from the TAIEX Options
碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 97 === There is a lot of research on the forcasting ability and information content of volatility. People always try to find the best one. Britten-Jones and Neuberger（2000） derived the model-free implied volatility under the assumption that the price of underlying...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/09244050473933770104 |