Stock Option Price and Index Option Momentum
碩士 === 國立高雄第一科技大學 === 金融研究所 === 100 === This study examine whether momentum effect exist in options. Theoretically, option price are affected by underlying asset, strike price, time to maturity, interest rate, implied volatility. We test the prediction of standard option pricing model (Black-Scholes...
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| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/29749382249570180034 |