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題名:靜態避險:以障礙選擇權及向後看選擇權為例
書刊名:證券市場發展季刊
作者:張傳章 引用關係劉明滄
作者(外文):Chang, Chuang-changLiu, Min-chuan
出版日期:2000
卷期:12:1=45
頁次:頁71-108
主題關鍵詞:二項式選擇權訂價模型靜態避險障礙選擇權向後看選擇權Binomial option pricing modelStatic hedgeBarrier optionsLookback options
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(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:26
期刊論文
1.Boyle, P. P.、Lau, S. H.(1996)。Bumping Up Against the Barrier with the Binomial Method。Journal of Derivatives,1(4),6-14。  new window
2.Derman, E.、Ergener, D.、Kani, I.(1995)。Static Options Replication。Journal of Derivatives,2(4),78-95。  new window
3.Ritchken, P.(1995)。On Pricing Barrier Options。Journal of Derivatives,3(2),19-28。  new window
4.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
5.Cheuk, T.、Vorst, T.(1996)。Complex Barrier Options。Journal of Derivatives,4(1),8-12。  new window
6.Whaley, Robert E.(1981)。On the valuation of American call options on stocks with known dividends。Journal of Financial Economics,9,207-212。  new window
7.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
8.Geske, Robert(1979)。The Valuation of Compound Options。The Journal of Financial Economics,7(1),63-81。  new window
9.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
10.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。  new window
11.Vorst, T. C. F.、Cheuk, T. H. F.(1997)。Currency Lookback Options and Observation Frequency: A Binomial Approach。Journal of International Money and Finance,16(2),173-187。  new window
12.Geske, Robert(1979)。A Note on an Analytical Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends。Journal of Financial Economics,7(4),375-380。  new window
13.Roll, R.(1977)。An Analytical Valuation formula for Unprotected American Call Options on Stocks with Known Dividends。Journal of Financial Economics,5,251-258。  new window
14.Hull, J.、White, A.(1987)。Hedging the Risks From Writing Currency Options。Journal of International Money and Finance,131-152。  new window
圖書
1.Hull, John C.(1997)。Options, Futures, and Other Derivatives。Upper Saddle River, NJ:Prentice-Hall Inc.。  new window
 
 
 
 
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