:::

詳目顯示

回上一頁
題名:金融機構承做選擇權的模型風險與市場風險
書刊名:風險管理學報
作者:聶建中 引用關係陳芾文王友珊 引用關係
作者(外文):Nieh, Chien-chungChen, Fei-wenWang, Yu-shan
出版日期:2003
卷期:5:3
頁次:頁295-317
主題關鍵詞:選擇權模型風險市場風險OUCH模型GARCH模型OptionsModel riskMarket riskOUCHGARCH
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(0) 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:0
  • 點閱點閱:37
期刊論文
1.Green, T. C.、Figlewski, S.(1999)。Market Risk and Model Risk for a Financial Institution Writing Options。Journal of Finance,54(4),1465-1499。  new window
2.Fama, E. F.(1965)。The Behavior Stock Market Prices。The Journal of Business,38,34-105。  new window
3.Coulson, N. E.、Robins, R. P.(1985)。Aggregate Economic Activity and the Variance of Inflation Another Look。Economic Letters,17,71-75。  new window
4.French, K. R.、Schwert, G. W.、Stambaugh, R.(1987)。Expected Stock Returns and Volatililty。Journal of Financial Economics,19,3-29。  new window
5.Galai, D.(1977)。Tests of Market Efficiency of the Chicago Board Option Exchange。The Journal of Business,50,167-197。  new window
6.Geske, R.(1979)。The Valuation Compound Options。Journal of Financial Economics,7,63-81。  new window
7.Mussa, M.(1979)。Empirical Regularities in the Behavior of Foreign Exchange Market。Carnegie-Rochester Conference Series on Public Policy,11,9-57。  new window
8.Domowitz, I.、Hakkio, C. S.(1985)。Conditional Variance and the Risk Premium in the Foreign Exchange Market。Journal of International Economics,19,47-66。  new window
9.Figlewski, S.(1997)。Forecasting Volatility。Financial Markets, Institutions, and Instruments,6(1),1-88。  new window
10.Hull, John C.、White, A.(1987)。The Pricing of Options on Assets with Stochastic Volatilities。Journal of Finance,42(2),281-300。  new window
11.Chu, S. H.、Freund, S.(1996)。Volatility Estimation for Stock Index Option: GARCH Approach。The Quarterly Review of Economics and Finance,36(4),431-450。  new window
12.Merton, R. C.(1976)。Option Pricing When the Underlying Stock Returns Are Discontinuous。Journal of Financial Economics,3(1/2),125-144。  new window
13.Morgan, I. G.(1976)。Stock Prices and Heteroskedasticity。Journal of Business,49,496-508。  new window
14.Merton, Robert C.、Scholes, Myron S.、Gladstein, Mathew L.(1978)。The Returns and Risk of Alternative Call Option Portfolio Investment Strategies。The Journal of Business,51,183-242。  new window
15.Engle, R. F.、Lilien, D. M.、Robins, R. P.(1987)。Estimating time varying risk premia in the term structure: The ARCH-M model。Econometrica,55(2),391-407。  new window
16.Duan, J.-C.(1995)。The GARCH Option Pricing Model。Mathematical Finance,5(1),13-32。  new window
17.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
18.Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。  new window
19.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
20.Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics,69(3),542-547。  new window
21.Bollerslev, Tim、Engle, Robert F.、Wooldridge, Jeffrey M.(1988)。A Capital Asset Pricing Model with Time-Varying Covariances。Journal of Political Economy,96(1),116-131。  new window
22.Cox, John C.、Ross, Stephen A.(1976)。The Valuation of Options for Alternative Stochastic Processes。Journal of Financial Economics,3(1/2),145-166。  new window
23.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
24.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。  new window
25.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE