Evaluation of VIX Options for Taiwan Stock Index
碩士 === 國立嘉義大學 === 企業管理學系 === 100 === This study aims to evaluate the VIX options on Taiwan stock index, by using three pricing models: Whaley’s (1993) Black model, Grunbichler and Longstaff’s (1996) mean-reverting model and Duan’s (1995) GARCH model. The empirical results reveals that, in general, t...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/04226995678739484780 |