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題名:平均式價格選擇權訂價理論與實例分析
書刊名:證券市場發展季刊
作者:張傳章 引用關係張森林 引用關係廖志峰 引用關係
作者(外文):Chang, Chuang-changChung, San-linLiao, Tze-fong
出版日期:2000
卷期:11:4=44
頁次:頁23-56
主題關鍵詞:平均式價格選擇權線性內插法二次內插法保本基金Average-price-style optionsLinear interpolation approachQuadratic interpolation approachGuaranteed trust funds
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(1) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:0
  • 點閱點閱:51
期刊論文
1.Gastineau, G.(1993)。An Introduction to Special-Purpose Derivatives: Path-Dependent Options。The Journal of Derivatives,4,78-86。  new window
2.Hull, John C.、White, Alan D.(1993)。Efficient procedures for valuing European and American path-dependent options。Journal of Derivatives,1(1),21-31。  new window
3.Geman, H.、Yor, M.(1993)。Bessel Processes, Asian Options and Perpetuities。Mathematical Finance,3,349-375。  new window
4.Rubinstein, M.(1985)。Nonparametric Tests of Alternative Pricing Models Using All Reportd Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through 31, 1978。Journal of Finance,40,445-480。  new window
5.Levy, Edmond(1992)。Pricing European Average Rate Currency Options。Journal of International Money and Finance,11(5),474-491。  new window
6.Turnbull, Stuart M.、Wakeman, Lee MacDonald(1991)。A quick algorithm for pricing European average options。The Journal of Financial and Quantitative Analysis,26(3),377-389。  new window
7.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。  new window
8.Scott, L.(1996)。Reference Checks: A Bibliography of Exotic Options Models。The Journal of Derivatives,Spring,65-78。  new window
9.Bouaziz, L.、Briys, E.、Crouhy, M.(1994)。The Pricing of Forward-starting Asian Options。Journal of Banking & Finance,18(5),823-839。  new window
10.Vorst, T.(1992)。Prices and Hedge Ratios of Average Exchange Rate Options。International Review of Financial Analysis,1(3),179-193。  new window
11.Zhang, P. G.(1995)。Flexible Arithmetic Asian Options。The Journal of Derivatives,2,53-63。  new window
12.Zhang, P. G.(1994)。Flexible Asian Options。Journal of Financial Engineering,3,65-83。  new window
13.Rogers, L. C. G.、Shi, Z.(1995)。The Value of an Asian Option。Journal of Applied Probability,32,1077-1088。  new window
14.Ritchken, P.、Sankarasubramanian, L.、Vijh, A. M.(1990)。Averaging Options for Capping Total Costs。Financial Management,Autumn,35-41。  new window
15.Sankarasubramanian, L.、Ritchken, P.、Vijh, A. M.(1993)。The luation of Path Dependent Contracts on the Average。Management Science,39(10),1202-1213。  new window
16.Milevsky, M. A.、Posner, S. E.(1998)。Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution。Journal of Financial and Quantitative Analysis,33(3),409-422。  new window
17.Nielsen, J. A.、Sandman, K.(1996)。The Pricing of Asian Options under Stochastic Interest Rates。Applied Mathematical Finance,3,209-236。  new window
18.Vorst, A. C. F.、Kemna, A. G. Z.(1990)。A Pricing Method for Options Based on Average Asset Values。Journal of Banking & Finance,14(May),113-129。  new window
19.Dewynne, J. A.、Wilmott, P.(1995)。Asian Options as Linear Complementurity Problems。Advances in Futures and Options Research,8,145-173。  new window
20.Curran, M.(1994)。Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price。Management Science,Dec.,1705-1711。  new window
21.Varikooty, A.、Chalasani, P.、Jha, S.(1998)。Accurate Approximations for European-style Asian Options。Journal of Computational Finance,summer,11-30。  new window
22.Barraquand, Jérôme、Pudet, Thierry(1996)。Pricing of American Path-Dependent Contingent Claims。Mathematical Finance,6,17-51。  new window
23.Koehl, P.、Decamps, J.、Alziary, B.(1997)。A P. D. E. Approach to Asian Options: Analytical and Numerical Evidence。Journal of Banking & Finance,21,613-640。  new window
學位論文
1.江明鐘(1996)。保本信託基金之評價與分析:以怡富日本美元還本收益基金為例(碩士論文)。國立政治大學。  延伸查詢new window
圖書
1.Zhang, P. G.(1997)。Exotic Options。Exotic Options。沒有紀錄。  new window
 
 
 
 
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