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題名:組合型認購權證評價模式之研究
書刊名:真理財經學報
作者:莊忠柱 引用關係黃婉茹
作者(外文):Chuang, Chung-chuHuang, Wan-ju
出版日期:2002
卷期:7
頁次:頁41-59
主題關鍵詞:組合型認購權證BS評價模式歷史波動性隱含波動性BS pricing modelBasket option pricing modelHistory volatilityImplied volatility
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 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:0
  • 共同引用共同引用:9
  • 點閱點閱:16
期刊論文
1.李命志、趙其琳(20010600)。波動性預測能力比較--臺灣認購權證之實證研究。臺灣銀行季刊,52(2),101-127。new window  延伸查詢new window
2.Scott, L.(1987)。Option Pricing When the Variance Changes Randomly: Theory, Estimation and Testing。Journal of Financial and Quantitative Analysis,22,419-438。  new window
3.Vasilellis, G. A.、Meade, N.(1996)。Forecasting Volatility for Portfolio Selection。Journal of Business Finance and Accounting,23,125-143。  new window
4.Latane, H.、Rendleman, R. J.(1976)。Standard deviation of stock price ratios implied by option premia。Journal of Finance,31,369-382。  new window
5.Hull, John C.、White, A.(1987)。The Pricing of Options on Assets with Stochastic Volatilities。Journal of Finance,42(2),281-300。  new window
6.Vorst, T.(1992)。Prices and Hedge Ratios of Average Exchange Rate Options。International Review of Financial Analysis,1(3),179-193。  new window
7.詹錦宏、洪啟安(19990600)。臺股認購權證價格形成的實證分析。臺灣銀行季刊,50(2),56-84。new window  延伸查詢new window
8.劉文祺、楊芳玫、詹麗錦(2000)。組合型認購權證評價模式之實證研究。證券櫃檯,54,24-49。  延伸查詢new window
9.Beckers, S.(1981)。Standard Deviation Implied in Option Prices as Predictors of Future Stock Price Variability。Journal of Banking and Finance,5,363-382。  new window
10.Whaley, R.(1982)。Valuation of American Call Options on Dividend-Paying Stocks: Empirical Test。Journal of Financial Economics,10,29-58。  new window
11.Meade, N.(1993)。Forecasting the Return and Risk on a Portfolio of Asset。International Journal of Forecasting,9,373-386。  new window
12.Lamoureux, C. Q.、Lastrapes, W. D.(1993)。Forecasting Stock Return Variance: Toward an Understanding of Stochastic Implied Volatility。Review of Financial Studies,6(2),293-326。  new window
13.Jorion, R.(1995)。Prediction Volatility in the Foreign Exchange Market。Journal of Finance,50,507-528。  new window
14.Gemmill, G.(1986)。How Useful Are Implied Distributions? Evidence From Stock Index Options。Journal of Derivatives,7(3),83-96。  new window
15.Fleming, J.(1998)。The Quality of Market Volatility Forecasts Implied by S&P100 Index Option Prices。Journal of Empirical Finance,5,317-345。  new window
16.Figlewski, S.(1990)。Option Arbitrage in Imperfect Markets。Journal of Finance,44,1289-1311。  new window
17.Chu, S. H.、Freund, S.(1996)。Volatility Estimation for Stock Index Options: A GARCH Approach。The Quarterly Review of Economics and Finance,36(4),431-450。  new window
18.Canina, L.、Figlewski, S.(1993)。The Information Content of Implied Volatility。Review of Financial studies,6,659-681。  new window
19.陳松男、鄭翔尹(20000100)。組合型權證的正確評價及避險方法。證券市場發展,11(4)=44,1-21。new window  延伸查詢new window
20.Wiggins, J. B.(1987)。Option Values Under Stochastic Volatility Theory and Empirical Estimates。Journal of Financial Economics,19(2),351-372。  new window
21.Garman, M. B.、Klass, M. J.(1980)。On the estimation of security price volatilities from historical data。Journal of Business,53(1),67-78。  new window
22.Trippi, Robert(1977)。A Test of Option Market Efficiency Using A Random-Walk Valuation Model。Journal of Economics and Business,29,93-98。  new window
23.詹錦宏、單應翔(20000900)。臺股認購權證評價模型選擇之研究。證券櫃檯,51,1-35。  延伸查詢new window
24.Duan, J.-C.(1995)。The GARCH Option Pricing Model。Mathematical Finance,5(1),13-32。  new window
25.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
26.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
27.Nelson, D. B.(1990)。Stationarity and Persistence in the GARCH(1,1) Model。Econometric Theory,6(3),318-334。  new window
28.Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。  new window
29.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
30.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
31.Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business,53(1),61-65。  new window
32.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。  new window
學位論文
1.曹金泉(1999)。隨機波動度下選擇權評價理論的應用--以臺灣認購權證為例(碩士論文)。國立政治大學。  延伸查詢new window
2.賈景宇(2001)。台灣創新型認購權證在不同波動性模型下之比較(碩士論文)。中原大學。  延伸查詢new window
3.何桂隆(1998)。Black-Sholes模型在不同波動性下衡量之表現一股價指數選擇權(碩士論文)。國立成功大學。  延伸查詢new window
圖書
1.Hull, J. C.(1997)。Options Futures And Other Derivative Securities。Prentice Hall。  new window
 
 
 
 
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