Purpose – This paper investigates changes in risk-neutral distribution derived from Taiwan stockindex options under different market conditions. The purpose of this paper is to explore whether individual investor sentiment significantly influences the Taiwan option prices....

This paper proposes that the Taiwan Futures Exchange (TAIFEX) adopts a linear extrapolation method to set the settlement price for the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) options with less liquidity and thin trading. The empirical results indicate that the...