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題名：組合型選擇權之評價及其在投資組合避險策略上之應用
書刊名：亞太經濟管理評論
作者：呂桔誠／廖四郎 引用關係／王昭文
出版日期：2003
卷期：6:2
頁次：頁1-20
主題關鍵詞：組合型選擇權；投資組合保險；避險策略；隨機利率；Basket options；Portfolio insurance；Hedging strategies；Stochastic interest rates
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:5
  • 點閱點閱:35
期刊論文
1.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
2.Harrison, J. M.、Pliska, S. R.(1983)。A Stochastic Calculus Model of Continuous Trading: Complete Markets。Stochastic Processes and their Applications，15(3)，313-316。  new window
3.Geman, H.、El Karoui, N.、Rochet, J. C.(1995)。Change of numeraire, changes of probability measures and pricing of options。Journal of Applied Probability，32，443-458。  new window
4.Jarrow, R.(1987)。The pricing of commodity options with stochastic interest rates。Advance in Futures Options Research，2，19-45。  new window
5.Turnbull, S.、Wakeman, L.(1991)。A Quick Algorithm for Pricing European Average Option。Journal of Financial and Quantitative Analysis，26，377-389。  new window
6.Posner, S. E.、Milevsky, M. A.(1998)。A Closed-Form Approximation for Valuing Basket Options。Journal of Derivatives，6，54-61。  new window
7.Posner, S. E.、Milevsky, M. A.(1998)。Asian Options, the Sum of Lognormal and the Reciprocal Gamma Distribution。Journal of Financial and Quantitative Analysis，33，409-422。  new window
8.Huynh, C. B.(1994)。Back to Baskets。Risk，7，55-61。  new window
9.Harrison, J. M.、Pliska, S. R.(1981)。Martingale and Stochastic Integrals in the Theory of Continuous Trading。Stochastic Processes and Their Applications，11，215-260。  new window
10.Gentle, D.(1993)。Basket Weaving。Risk，6(6)，51-52。  new window
11.Curran, M.(1994)。Valuing Asian and Portfolio Options by Conditioning on Geometric Mean Price。Management Science，40，1705-1711。  new window
12.Alziary, Benedicte、Decamps, Jean-Pual、Koehl, Pierre-Francoies(1997)。A P.D.E. Approach to Asian Options: Analysis and Numerical Evidence。Journal of Banking and Finance，21，613-640。  new window
13.Vorst, T.(1992)。Prices and Hedge Ratios of Average Exchange Rate Options。International Review of Financial Analysis，1(3)，179-193。  new window
14.Rubinstein, M.(1991)。Somewhere Over the Rainbow。RISK，4，63-66。  new window
15.Rubinstein, M.(1994)。Return to Oz。RISK，7，67-71。  new window
16.Lévy, E.、Turnbull, S.(1992)。Average Intelligence。Risk，5，53-59。  new window
17.Kemna, Angelien G. Z.、Vorst, Antonius C. F.(1990)。A pricing method for options based on average asset values。Journal of Banking and Finance，14(1)，113-129。  new window
18.Jamshidian, F.(1991)。Bond and Option Evaluation in the Gaussian Interest Rate Model。Research in Finance，9，131-170。  new window
19.Jamshidian, Farshid(1989)。An Exact Bond Option Pricing Formula。Journal of Finance，44(1)，205-209。  new window
20.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
21.Harrison, J. M.、Kreps, D. M.(1979)。Martingales and Arbitrage in Multiperiod Security Markets。Journal of Economic Theory，20(3)，381-408。  new window
22.Geman, H.、Yor, M.(1993)。Bessel Processes, Asian Options and Perpetuities。Mathematical Finance，3，349-375。  new window
23.Amin, K. I.、Jarrow, R. A.(1992)。Pricing Options on Risky Assets in a Stochastic Interest Rate Economy。Mathematical Finance，2，217-237。  new window
24.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。An Intertemporal General Equilibrium Model of Asset Prices。Econometrica，53(2)，363-384。  new window
25.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
26.Merton, Robert C.(1976)。Option Pricing When Underlying Stock Returns Are Discontinuous。Journal of Financial Economics，3(1)，125-144。  new window
27.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
28.Levy, Edmond(1992)。Pricing European Average Rate Currency Options。Journal of International Money and Finance，11(5)，474-491。  new window
29.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy，81(3)，637-654。  new window
30.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。A Theory of the Term Structure of Interest Rates。Econometrica，53(2)，385-407。  new window
31.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
會議論文
1.Ruttiens, A.(1990)。Currency Options on Average Exchange Rates Pricing and Exposure Management。20th Annual Meeting of the Decision Science Institute。New Orleans。  new window
研究報告
1.Geman, H.(1989)。The Importance of the Forward Neutral Probability in a Stochastic Approach of Interest Rates。ESSEC。  new window
2.Jamshidian, F.(1989)。The Multifactor Gaussian Interest Rate Model and Implementation。Merrill Lynch Capital Markets。  new window
3.Jamshidian, F.(1987)。Pricing of Contingent Claims in the One Factor Term Structure Model。Merrill Lynch Capital Markets。  new window
4.El Karoui, N.、Rochet, J. C.(1989)。A Pricing Formula for Options on Coupon Bonds。SDEES。  new window
圖書論文
1.Vorst, T.(1996)。Average Options。The Handbook of Exotic Options。Irwin。  new window
 
 
 
 
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