The Research about Implied Volatility Function for Taiwan Stock Index Option
碩士 === 國立高雄第一科技大學 === 金融所 === 98 === We determined the implied volatilities of Taiwan stock index options (TXO) by collecting the price data of TXO and Taiwan stock index futures (TX) from 2002 to 2009, and fitted the implied volatilities as a function of moneyness index and time to expiration. We u...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/58209541186567805302 |