The Impact of Skew Index and Macroeconomic Factors on S&P 500 index
碩士 === 中原大學 === 財務金融研究所 === 106 === After the stock market had been crashed in the United States on October 19, 1987 (which was called “Black Monday”), the relationship between implied volatility and the call strike price was changed from a smile curve to a skewed curve. Twenty four years later, the...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/7d29nc |