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常數彈性變異數過程與其應用

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Table 1 Implied Volatility and In-Sample Fit  All Options   CEV  BS  SV  SVSI  SVJ  Implied Volatility (%)  19.64 18.23 18.66 18.65 19.38  SSE 23.93 69.6 10.63 10.68 6.46  Short-Term Options   CEV  BS  SV  SVSI  SVJ  Implied Volatility (%)  20.21 18.15 18.
Table 6 Comparison of Computational Efficiency Between the CEV and the SV Models  (At-the-Money)
Table 8 Comparison of Computational Efficiency Between the CEV and the SV Models  (Deep Out-of-the-Money Put Option)
Table 10 Comparison of Computational Efficiency Between the CEV and the SV Models  (Deep In-the-Money Put Option)
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