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題名:股酬交換的一般化評價模式
書刊名:亞太經濟管理評論
作者:廖四郎 引用關係王銘杰徐守德 引用關係
出版日期:2000
卷期:4:1
頁次:頁73-95
主題關鍵詞:股酬交換機率測度轉換複製法匯率風險Equity swapsTransform probability measureReplicating methodExchange rate risk
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:1
  • 點閱點閱:16
期刊論文
1.廖四郎(19980900)。從Black-Scholes模型分析論數理財務模型之發展。亞太經濟管理評論,2(1),97-123。new window  延伸查詢new window
2.Amin, K. I.(1991)。On the Computation of Continuous Time Option Prices Using Discrete Approximations。Journal of Financial and Quantitative Analysis,26(4),477-495。  new window
3.Amin, K. I.、Jarrow, R. A.(1991)。Pricing Foreign Currency Options under Stochastic Interest Rates。Journal of International Money and Finance,10(3),310-329。  new window
4.Amin, K. I.、Bodurtha, J. N.(1995)。Discrete-time Valuation of American Options with Stochastic Interest Rate。Review of Financial Studies,8(1),193-234。  new window
5.Chance, D. M.、Rich, D. R.(1998)。The Pricing of Equity Swaps and Swaptions。The Journal of Derivatives,5(4),19-31。  new window
6.Chew, L.(1991)。Sex, Swaps and Arbitrage。Risk,4(6),1-15。  new window
7.Chung, S. L.(1999)。Pricing Equity Swaps: A Comment。Journal of Financial Studies,6(3),63-68。  new window
8.Dravid, A.、Richardson, M.、Sun, T. S.(1993)。Pricing Foreign Index Contingent Claims: An Application to Nikkei Index Warrants。Journal of Derivatives,1(2),33-51。  new window
9.Harrion, J. M.、Kerps, D.(1979)。Martingales and Arbitrage in Multi-period Securities Markets。Journal of Economic Theory,20(3),381-408。  new window
10.Harrion, J. M.、Pliska, S. R.(1981)。Martingales and Stochastic Integrals in the Theory of Continuous Trading。Stochastic Processes and Their Applications,11,215-260。  new window
11.Lin, W.(1997)。Pricing Equity Swaps。Journal of Financial Studies,5(1),43-72。  new window
12.Rich, D.(1995)。Note on the Valuation and Hedging of Equity Swaps。Journal of Financial Engineering,4(2),323-334。  new window
13.Schroder, M.(1999)。Changes of Numeraire for Pricing Futures, Forward and Options。Review of Financial Studies,12(4),1143-1163。  new window
14.Wei, J. Z.(1994)。Valuation Differential Swaps。Journal of Derivatives,2(2),64-76。  new window
15.Heath, David C.、Jarrow, Robert A.、Morton, Andrew J.(1992)。Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation。Econometrica,60(1),77-105。  new window
會議論文
1.江怡蓓(1998)。跨通貨股權互換之評價。第七届証券暨金融市場理論與實務研討,中山大學 。高雄。  延伸查詢new window
圖書
1.Dattatreya, E. D.、Hotta, K.(1994)。Advance Interest Rate and Currency Swaps。New York:Probus Publishing Company。  new window
2.Derosa, D. F.(1998)。Currency Derivatives。John Wiley & Sons, Inc.。  new window
3.Dothan, M. U.(1992)。Prices in Financial Markets。New York:Oxford University Press。  new window
4.Elliott, R.、Kopp, E.(1999)。Mathematics of Financial Markets。New York:Springer。  new window
5.Musiela, M.、Rutkowski, M.(1997)。Martingale Methods in Financing Modeling。New York:Springer。  new window
6.Jarrow, R. A.、Turnbull, S. M.(1996)。Derivative Securities。South-Western Publishing。  new window
圖書論文
1.Marshall, J.、Yuyuenyonwatana, R.(2000)。Equity Swaps: Structures, Uses, and Pricing。Handbook of Equity Derivatives。New York:Wiley Publishing。  new window
 
 
 
 
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