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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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台指選擇權到期日之結算價及方向預測 / The settlement price and direction forecast of the taifex equity options at expiration date

張文崟 Unknown Date (has links)
台灣期交所於2001 年12 月推出台指選擇權，更於2012年11月推出一週到期選擇權，至今交易量屢創新高，本研究希望以實證資料探討台指選擇權到期日當天是否存在到期日效應 ，及台指選擇權到期日的結算價可否預測兩項議題. 本研究利用到期前一日台指選擇權收盤資料來預估選擇權賣方最佳結算價，並利用此一價格來推估到期日當天的結算價。
一週到期選擇權
到期日
結算價

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