Hedging Strategies for Options in Daily Price Limit Markets
碩士 === 國立交通大學 === 財務金融研究所 === 99 === This paper implements the different method of choosing the volatility in the Price-Limit model and examines their effect on the performance of standard delta hedging of vanilla options on TSE and the simulations. One method is using the historical return data and...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/93725511065052961782 |