Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5083884 | International Review of Economics & Finance | 2012 | 18 Pages |
Abstract
⺠We price options by assuming the asset returns following an ARMA process. ⺠The BSM implied volatility is valid within the return structure of an ARMA process. ⺠The AR effect is more significant than the MA in numerical analysis. ⺠The VG and ad hoc ARMA model are superior models in pricing TAIEX options.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Chou-Wen Wang, Chin-Wen Wu, Shyh-Weir Tzang,