Information Implied in Spreads Between Black-Sholes Theoretical Premia and Market Prices of Taiwan Stock Index Options
碩士 === 國立臺北大學 === 經濟學系 === 99 === This study investigates information implied in spreads between Black-Scholes theoretical premia and market prices for at-the-money options of the Taiwan stock index. The results show that trading stock index futures based on the call spreads can earn positive return...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/40385124609081086255 |