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...

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Bibliographic Details
Main Authors: Jia-Syun Li, 李佳勳
Other Authors: Jen-Tsung Huang
Format: Others
Language:zh-TW
Published: 2013
Online Access:http://ndltd.ncl.edu.tw/handle/73957138142364527309

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