Time Value of Risk-Neutral Volatility and the Cross-Section of Stock Returns
碩士 === 東吳大學 === 財務工程與精算數學系 === 106 === This research uses out-of-money call and put options data from January 1996 to April 2016 to calculate risk-neutral moments. We define time value of risk-neutral moments as the difference between the risk-neutral moments of 1-month and 3-month duration options....
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| Format: | Others |
| Language: | en_US |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/z6xvq7 |