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題名:重設選擇權的評價、Delta問題與避險設計:以臺灣為例
書刊名:證券市場發展季刊
作者:李賢源 引用關係劉柏宏
作者(外文):Lee, Shyan-yuanLiu, Wisely
出版日期:2003
卷期:15:2=58
頁次:頁31-63
主題關鍵詞:重設選擇權回顧選擇權回顧型重設選擇權界限選擇權Reset optionLookback optionLookback reset optionBarrier optionDelta jumpNegative delta
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(4) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:4
  • 共同引用共同引用:11
  • 點閱點閱:52
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.Reiner, E.、Rubinstein, M.(1991)。Breaking Down the Barriers。Risk Magazine,4(8),28-35。  new window
4.Ritchken, P.(1995)。On Pricing Barrier Options。Journal of Derivatives,3(2),19-28。  new window
5.鄭偉仁、張曙光(2000)。The Analytics of Reset Options。The Journal of Derivatives,8(1),59-71。  new window
6.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
7.Derman, E.、Kani, I.、Ergener, D.、Bardhan, I.(1995)。Enhanced Numerical Methods for Options with Barriers。Financial Analysts Journal,51(6),65-74。  new window
8.Carr, P. P.、Ellis, K.、Gupta, V.(1998)。Static hedging of exotic options。Journal of Finance,53(3),1165-1190。  new window
9.Gray, S. F.、Whaley, R. E.(1997)。Valuing S&P 500 Bear Market Warrants with a Periodic Reset。The Journal of Derivatives,5(1),99-106。  new window
10.Heynen, R. C.、Kat, H. M.(1994)。Partial Barrier Options。Journal of Financial Engineering,3,253-274。  new window
11.薛立言、郭柏宏(1998)。重設認購權證的設計與評價。中國財務學刊,6(2),1-18。  延伸查詢new window
會議論文
1.許溪南、何怡滿(1999)。美式重設型認購權證之評價。沒有紀錄。  延伸查詢new window
2.李存修、林岳賢(1999)。重設選擇權之評價與避險操作。沒有紀錄。new window  延伸查詢new window
圖書
1.Strickland, C.、Clewlow, L.(1998)。Implementing Derivatives Models。John Wiley & Sons, Inc.。  new window
2.Strickland, C.、Clewlow, L.(1997)。Exotic Options: The state of the art。Exotic Options: The state of the art。London, UK:International Thomson Business Press。  new window
3.Zhang, P. G.(1998)。Exotic Options: A Guide to Second Generation Options。World Scientific。  new window
4.Hull, John C.(1997)。Options, Futures, and Other Derivatives。Upper Saddle River, NJ:Prentice-Hall Inc.。  new window
 
 
 
 
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