Time-Varying Volatility Risk Premium Embedded in Index Options:Evidence from Taiwan
碩士 === 逢甲大學 === 財務金融學系碩士班 === 101 === ABSTRACT This study estimates the model-free implied variance from the stock index options and also measures the realized variance from the stock in-dex using Taiwan stock exchange capitalization weighted stock index (TAIEX) and index option (TXO) as the resear...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/55925179825017934218 |