Wang, Ching-Ping; Huang, Hung-Hsi; Hung, Chien-Chia - In: The International Journal of Business and Finance Research 5 (2011) 2, pp. 115-125
This study examines both restricted and unrestricted Black-Sholes models, according to Longstaff (1995). Using the Taiwan index options for each day from January 2005 to December 2008, the unrestricted model simultaneously solves the implied index value and implied volatility whereas the...
