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題名:美式選擇權的定價--隱含相信模型及美國S&P 100指數選擇權的應用
書刊名:中國財務學刊
作者:蔡明憲徐守德 引用關係廖四郎 引用關係許溪南
作者(外文):Taisy, Min-shannShyu, DavidLiao, Szu-langHsu, Hsinan
出版日期:2000
卷期:8:1
頁次:頁33-66
主題關鍵詞:美式選擇權最佳停止點隱含相信值American optionOptimal stopping timeImplied belief value
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:24
期刊論文
1.Whaley, Robert E.(1982)。Valuation of American Call Options on Dividend-Paying Stocks: Empirical Tests。Journal of Financial Economics,10(1),29-58。  new window
2.Martineau, D.、Barraquand, Jérôme(1995)。Numerical Valuation of High Dimensional Multivariate American Securities。Journal of Financial and Quantitative Analysis,30(3),383-405。  new window
3.Broadie, M.、Glasserman, P.(1997)。Pricing American-style securities using simulation。Journal of Economic Dynamics and Control,21(8),1323-1352。  new window
4.Stein, E.、Stein, J.(1991)。Stock Price Distributions with Stochastic Volatility: An Analytic Approach。Review of Financial Studies,4(4),727-752。  new window
5.Johnson, H.、Shanno, D.(1987)。Option Pricing When the Variance Is Changing。Journal of Financial and Quantitative Analysis,22(2),143-151。  new window
6.Barone-Adesi, G.、Whaley, R. E.(1987)。Efficient analytic approximation of American option values。The Journal of Finance,42(2),301-320。  new window
7.Bunch, D. S.、Johnson, H.(1992)。A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach。The Journal of Finance,47(2),809-816。  new window
8.Johnson, H. E.(1983)。An Analytic Approximation for the American Put Price。The Journal of Financial and Quantitative Analysis,18(1),141-148。  new window
9.Galai, D.(1997)。Tests of Market Efficiency of the Chicago Board Options Exchange。The Journal of Business,50(2),167-197。  new window
10.Lamoureux, Christopher G.、Lastrapes, William D.(1993)。Forecasting Stock-return Variance: Toward an Understanding of Stochastic Implied Volatilities。The Review of Financial Studies,6(2),293-326。  new window
11.Hull, John C.、White, A.(1987)。The Pricing of Options on Assets with Stochastic Volatilities。Journal of Finance,42(2),281-300。  new window
12.Scott, L. O.(1987)。Option Pricing When the Variance Changes Randomly: Theory, Estimation, and an Application。Journal of Financial and Quantitative Analysis,22(4),419-438。  new window
13.Rubinstein, Mark(1994)。Implied binomial trees。Journal of Finance,49(3),771-818。  new window
14.Duan, J.-C.(1995)。The GARCH Option Pricing Model。Mathematical Finance,5(1),13-32。  new window
15.Black, Fischer、Scholes, Myron(1972)。The Valuation of Option Contracts and a Test of Market Efficiency。Journal of Finance,27(2),399-417。  new window
16.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。  new window
17.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
18.Geske, Robert、Johnson, Herb E.(1984)。The American put option valued analytically。Journal of Finance,39(5),1511-1524。  new window
19.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
20.Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。  new window
21.Heston, Steven L.(1993)。A Closed-form Solution for Options With Stochastic Volatility With Applications to Bond and Currency Options。Review of Financial Studies,6(2),327-343。  new window
22.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。  new window
23.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
24.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
25.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
26.Jacka, S. D.(1991)。Optimal stopping and the American Put。Mathematical Finance,1(2),1-14。  new window
27.Huang, Jing-Zhi、Subrahmanyam, Marti G.、Yu, George C.(1996)。Pricing and Hedging American Options: A Recursive Integration Method。The Review of Financial Studies,9(1),277-300。  new window
28.Hobson, D. G.、Rogers, L. C.(1998)。Complete models with stochastic volatility。Mathematical Finance,8(1),27-48。  new window
29.Gerber, H. U.、Shiu, E. S. W.(1996)。Martingale approach to pricing perpetual American options on two stocks。Mathematical Finance,6(3),303-322。  new window
30.Garcia, R.、Renault, E.(1998)。A note on hedging in ARCH and stochastic volatility option pricing models。Mathematical Finance,8(2),153-161。  new window
31.Finnerty, Josephy E.(1978)。The Chicago Board Options Exchange and Market Efficiency。Journal of Financial and Quantitative Analysis,13,29-38。  new window
32.Gibson, R.、Chesney, M.、Elliott, R. J.(1993)。Analytical solutions for the pricing of American bond and yield options。Mathematical Finance,3(3),277-294。  new window
33.Jarrow, R.、Carr, P.、Myneni, R.(1992)。Alternative Characterizations of American Put Options。Mathematical Finance,2(2),87-106。  new window
34.Detemple, Jérôme B.、Broadie, Mark(1996)。American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods。The Review of Financial Studies,9(4),1211-1250。  new window
35.Johnson, H.、Blomeyer, E. C.(1988)。An empirical examination of the pricing of American put options。Journal of Financial and Quantitative Analysis,23(1),13-22。  new window
36.Courtadon, G. R.、Bodurtha, J. N.(1987)。Tests of an American option pricing model on the foreign currency options market。Journal of Financial and Quantitative Analysis,22(2),153-167。  new window
37.Blomeyer, E. C.(1986)。An analytic approximation for the American put price for options on stocks with dividends。Journal of Financial and Quantitative Analysis,21(2),229-233。  new window
38.Whaley, R. E.、Barone-Adesi, G.(1986)。The valuation of American call options and the expected ex-dividend stock price decline。Journal of Financial Economics,17,91-111。  new window
39.Khanna, A.、Amin, K. I.(1994)。Convergence of American option values from discrete- to continuous-time financial models。Mathematical Financial,4(4),289-304。  new window
40.吳佳貞、陳松男(1999)。涉險值在外匯部位的分析及應用。臺灣期貨市場,1(1),7-16。  延伸查詢new window
41.巨能久、Zhong, Rui(1999)。An Approximate Formula for Pricing American Options。The Journal of Derivatives,7(2),31-40。  new window
42.Kallsen, J.、Taqqu, M. S.(1998)。Option Pricing in ARCH-Type Models。Mathematical Finance,8(1),13-26。  new window
43.Kim, In Joon(1990)。The Analytic Valuation of American Options。The Review of Financial Studies,3(4),547-572。  new window
44.Geske, R.、Roll, R.(1984)。On valuing American call options with the Black-Scholes European Formula。The Journal of Finance,39(2),443-445。  new window
45.Ritchken, P.、Li, A.、Sankarasubramanian, L.(1995)。Lattice Models for Pricing American Interest Rate Claims。The Journal of Finance,50(2),719-737。  new window
圖書
1.Musiela, M.、Rutkowski, M.(1997)。Martingale Methods in Financial Modelling。Martingale Methods in Financial Modelling。Berlin, Germany/ Heidelberg, Germany/ New York, NY:Springer。  new window
2.Ingersoll, J. E.(1987)。Theory of Financial Decision Making。Maryland:Rowman-Littlefield。  new window
 
 
 
 
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