Forecast the Time to Maturity Volatility of Index Futures Market─ S&P 500 Index
碩士 === 銘傳大學 === 財務金融學系碩士班 === 98 === Since the volatility forecasting is very important to derivative pricing, we consider that estimation of volatility is affected by the time to maturity (τ). By using the concept of the volatility cone derive from Burghardt & Lane (1990), we generate an empiri...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/68740866006171977672 |