The Empirical Analysis of Volatility Smile in Taiwan Options Market
碩士 === 國立中山大學 === 財務管理學系研究所 === 101 === In this study, we use the regression by Pena (1999) as theoretical implied volatility estimation, and assuming three variables : “The number of days”, ”Volume” and “Spread” as main variables. The real implied volatility as a dependent variable regression model...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/73957138142364527309 |