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題名:CB Asset Swaps and CB Options: Structure and Pricing
書刊名:經濟論文
作者:張森林 引用關係賴曉薇林淑瑛史綱
作者(外文):Chung, San-linLai, Hsiao-weiLin, Shu-yingShyy, Gang
出版日期:2004
卷期:32:1
頁次:頁23-51
主題關鍵詞:資產交換交易可轉債資產交換可轉債選擇權Asset swap transactionCB asset swapCB option
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:52
期刊論文
1.Sundaresan, S.(2000)。Continuous-time methods in finance: A review and an assessment。The Journal of Finance,55(4),1569-1622。  new window
2.Jarrow, R. A.、Lando, D.、Turnbull, S. M.(1997)。A Markov Model for the Term Structure of Credit Risk Spreads。Review of Financial Studies,10(2),481-523。  new window
3.Longstaff, F. A.、Schwartz, E. A.(2001)。Valuing American options by simulation: A simple least-squares approach。Review of Financial Studies,14,113-147。  new window
4.Brennan, M. J.、Schwartz, E. S.(1980)。Analyzing Convertible Bonds。Journal of Financial and Quantitative Analysis,15(4),907-929。  new window
5.Ingersoll, J. E.(1977)。A contingent claims valuation of convertible securities。Journal of Financial Economics,4,289-322。  new window
6.Kijima, M.、Komoribayashi, K.(1998)。A Markov Chain Model for Valuing Credit Risk Derivatives。Journal of Derivatives,6(1),97-108。  new window
7.Cox, J. C.、Ingersoll, J. E.、Ross, S. A.(1985)。A Theory of the Term Structure of Interest Rate。Econometrica,53(2),385-408。  new window
8.Aït-Sahalia, Y.、Lo, Andrew W.(1998)。Nonparametric Estimation of State-price Densities Implicit in Financial Asset Prices。The Journal of Finance,53(2),499-547。  new window
9.Jarrow, Robert A.、Turnbull, Stuart M.(1995)。Pricing Derivatives on Financial Securities Subject to Credit Risk。Journal of Finance,50(1),53-85。  new window
10.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。  new window
11.Hull, J. C.、White, A.(1995)。The Impact of Default Risk on the Prices of Options and Other Derivatives Securities。Journal of Banking & Finance,19(2),299-322。  new window
12.Brennan, M. J.、Schwartz, E. S.(1977)。Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion。Journal of Finance,32,1699-1715。  new window
13.Chance, D. M.、Rich, D.(1998)。The Pricing of Equity Swaps and Swaptions。The Journal of Derivatives,5,19-31。  new window
14.Davis, M.、Schachermayer, W.、Tompkins, R.(2001)。Pricing, No-Arbitrang Bounds and Robust Hedging of Installment Options。Quantitative Finance,1,597-610。  new window
15.Duffie, D.、Singleton, K.(1999)。Modeling Term Structure of Defaultable Bonds。Review of Financial Studies,12(4),687-720。  new window
16.Etzdorf, J.、Lee, M.(1998)。A Derivative for Asia's Season of Financial Discontent。Bloomberg Magazine,1998(May),81-86。  new window
17.Hung, M. W.、Wang, J. Y.(2002)。Pricing Convertible Bonds Subject to Default Risk。The Journal of Derivatives,10,75-87。  new window
18.Longstaff, F. A.、Schwartz, E. S.(1995)。Valuing Credit Derivatives。Journal of Fixed Income,5,6-12。  new window
圖書
1.Brady, B.、Bos, R. J.(2002)。Record Defaults in 2001: The Result of Poor Credit Quality and a Weak Economy。Standard and Poor's Special Report (Rating Performance 2001)。沒有紀錄。  new window
其他
1.Euro Money(2002)。The Guide to Global Fixed Income, 2002。  new window
 
 
 
 
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