The Influence of the Options Volatility Skew on the Futures and Stock Markets
碩士 === 淡江大學 === 財務金融學系碩士班 === 101 === The thesis adopts unique intraday data to analysis the options volatility skew which defines as the difference between the implied volatilities of out-of-the-money puts and at-the-money call has significant predictive power for futures and stock return. Our samp...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/81981544628643415654 |