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題名:選擇權隱含波動性與標的資產歷史波動性及選擇權參數之關聯性
書刊名:亞太管理評論
作者:許溪南詹世煌 引用關係謝宗祐
作者(外文):Hsu, HsinanChan, Shin-huangHsieh, Tzung-yuan
出版日期:2000
卷期:5:4
頁次:頁385-401
主題關鍵詞:隱含波動性歷史波動性價位狀況到期日股價水準Implied volatilityHistorical volatilityMoneynessTime to maturityStock price level
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(0) 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:5
  • 點閱點閱:19
期刊論文
1.Bodurtha, J. N.、Georges, R. C.(1987)。Tests of an American Option Pricing Model on the Foreign Currency Options Market。Journal of Financial & Quantitative Analysis,22(2),153-167。  new window
2.Finnerty, J. E.(1978)。The CBOE and Market Efficiency。Journal of Financial and Quantitative Analysis,13(1),29-38。  new window
3.Schmalensee, R.、Trippi, R. R.(1978)。Common Stock Volatility Expectation by Option Premia。The Journal of Finance,33(1),129-147。  new window
4.Beckers, S.(1981)。Standard Deviations Implied in Option Prices as Predictions of Future Stock Price Variability。Journal of Banking and Finance,5(3),363-382。  new window
5.Heaton, H.(1986)。Volatility Implied by Options Premium: A Test of Market Efficiency。Financial Review,21,37-49。  new window
6.Kawaller, I. G.、Koch, P. D.、Peterson, J. E.(1994)。Assessing the Intraday Relationship Between Implied and Historical Volatility。The Journal of Futures Market,12,323-346。  new window
7.Park, H. Y.、Sears, R. S.(1985)。Estimating Stock Index Futures Volatility Through the Price of Their Options。The Journal of Futures Markets,5,223-238。  new window
8.McCormack, J.(1990)。Reading the Tales of Implied Volatilities。Futures: The Magazine of Commodities & Options,19(9),32-34。  new window
9.Latane, H.、Rendleman, J.(1976)。Standard Deviations of Stock Price Ratios Implied in Options Prices。Journal of Finance,31,369-382。  new window
10.Wiggins, J.(1987)。Option Values Under Stochastic Volatility Theory and Empirical Estimates。Journal of Financial Economics,19,351-372。  new window
11.Whaley, R. E.(1982)。Valuation of American Call Options on Dividend-Paying Stocks。Journal of Financial Economics,10(1),29-58。  new window
12.Rubinstein, Mark(1994)。Implied binomial trees。Journal of Finance,49(3),771-818。  new window
13.Samuelson, Paul A.(1965)。Proof that Properly Anticipated Prices Fluctuate Randomly。Industrial Management Review,6(2),41-49。  new window
14.Chiras, Donald P.、Manaster, Steven(1978)。The Information Content of Option Prices and a Test of Market Efficiency。Journal of Financial Economics,6(2/3),213-234。  new window
15.許溪南(19970100)。不完全市場下之選擇定價。中國財務學刊,4:3,頁13-43。new window  延伸查詢new window
學位論文
1.邱麗吟(1996)。外匯期貨選擇權定價理論之實證研究--以美式馬克期權為例(碩士論文)。銘傳管理學院。  延伸查詢new window
2.謝宗祐(1999)。股價波動性與選擇權隱含波動性之影響因素(碩士論文)。國立成功大學。  延伸查詢new window
圖書論文
1.Kemna, A.。An Empircial Test of Option Pricing Model Based Upon Transactions Data of the European Options Exchange。A Re-appraisal of Market Efficiency。Springer Verlag。  new window
 
 
 
 
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