Matches in SemOpenAlex for { <https://semopenalex.org/work/W2589277054> ?p ?o ?g. }
Showing items 1 to 52 of
52
with 100 items per page.
- W2589277054 abstract "This study introduces a variety of volatility estimation methods, including historical volatility, implied volatility and VIX, to assess and compare the performance of pricing TAIEX Options. The empirical results indicate that the evaluation performance of implied volatility model outperformed those of historical volatility and VIX models. In the analysis of causes of option’s price errors by multiple variables regression, moneyness, time to maturity, volatility and index returns have significant impacts on the pricing errors, while trading volume and open interest do not have significant impacts on every pricing error. Even though the latter two factors are in the case of significance, their coefficients are negatively related to the absolute error." @default.
- W2589277054 created "2017-03-03" @default.
- W2589277054 creator A5008833751 @default.
- W2589277054 creator A5084410734 @default.
- W2589277054 date "2016-12-22" @default.
- W2589277054 modified "2023-10-14" @default.
- W2589277054 title "The Empirical Research on the Performance of Pricing based on TAIEX Options under Different Volatility Models" @default.
- W2589277054 doi "https://doi.org/10.12783/dtssehs/icssd2016/4660" @default.
- W2589277054 hasPublicationYear "2016" @default.
- W2589277054 type Work @default.
- W2589277054 sameAs 2589277054 @default.
- W2589277054 citedByCount "0" @default.
- W2589277054 crossrefType "journal-article" @default.
- W2589277054 hasAuthorship W2589277054A5008833751 @default.
- W2589277054 hasAuthorship W2589277054A5084410734 @default.
- W2589277054 hasBestOaLocation W25892770541 @default.
- W2589277054 hasConcept C106159729 @default.
- W2589277054 hasConcept C117996083 @default.
- W2589277054 hasConcept C13290067 @default.
- W2589277054 hasConcept C149782125 @default.
- W2589277054 hasConcept C162324750 @default.
- W2589277054 hasConcept C173921975 @default.
- W2589277054 hasConcept C24189920 @default.
- W2589277054 hasConcept C85393063 @default.
- W2589277054 hasConcept C91602232 @default.
- W2589277054 hasConceptScore W2589277054C106159729 @default.
- W2589277054 hasConceptScore W2589277054C117996083 @default.
- W2589277054 hasConceptScore W2589277054C13290067 @default.
- W2589277054 hasConceptScore W2589277054C149782125 @default.
- W2589277054 hasConceptScore W2589277054C162324750 @default.
- W2589277054 hasConceptScore W2589277054C173921975 @default.
- W2589277054 hasConceptScore W2589277054C24189920 @default.
- W2589277054 hasConceptScore W2589277054C85393063 @default.
- W2589277054 hasConceptScore W2589277054C91602232 @default.
- W2589277054 hasIssue "icssd" @default.
- W2589277054 hasLocation W25892770541 @default.
- W2589277054 hasOpenAccess W2589277054 @default.
- W2589277054 hasPrimaryLocation W25892770541 @default.
- W2589277054 hasRelatedWork W1506124811 @default.
- W2589277054 hasRelatedWork W1948920686 @default.
- W2589277054 hasRelatedWork W2037432906 @default.
- W2589277054 hasRelatedWork W2132243807 @default.
- W2589277054 hasRelatedWork W2154821347 @default.
- W2589277054 hasRelatedWork W2184176858 @default.
- W2589277054 hasRelatedWork W2292964445 @default.
- W2589277054 hasRelatedWork W2783899523 @default.
- W2589277054 hasRelatedWork W2970588134 @default.
- W2589277054 hasRelatedWork W3046357205 @default.
- W2589277054 isParatext "false" @default.
- W2589277054 isRetracted "false" @default.
- W2589277054 magId "2589277054" @default.
- W2589277054 workType "article" @default.