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頁籤選單縮合
題名 | 以無母數核迴歸尋找風險中立機率分配與隱含波幅曲面之一致性=The Consistency between the Risk-Neutral Distribution and the Implied Volatility Surface Based on the Approach of the Nonparametric Kernel Regression |
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作者 | 林月能; 吳勝景; 張育源; Lin, Yueh-neng; Wu, Sheng-ching; Chang, Yu-yuan; |
期刊 | 風險管理學報 |
出版日期 | 200307 |
卷期 | 5:2 2003.07[民92.07] |
頁次 | 頁139-165 |
分類號 | 553.5 |
語文 | chi |
關鍵詞 | Black-Scholes選擇權定價模型; 隱含波幅; 微笑波幅; 核迴歸; 風險中立機率分配; Black-Scholes option pricing formula; Implied volatility; Volatility smile; Kernel regression; Risk-Neutral distribution; |