Cross Empirically Hedge Effects on Option Portfolio
碩士 === 輔仁大學 === 金融與國際企業學系金融碩士班 === 102 === This research measure the performances of portfolio by two hedging strategies, including Delta hedge and optimal VaR hedge. Portfolio is composed of Taiwan Stock Index Option and Taiwan 50 index. Confidence level of optimal VaR hedge are 95% and 99%. This r...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/61349751277085912185 |