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題名:匯率連動遠期生效亞洲選擇權
書刊名:經濟論文
作者:陳松男姜一銘 引用關係
作者(外文):Chen, Son-nanJiang, I-ming
出版日期:2004
卷期:32:1
頁次:頁149-199
主題關鍵詞:新奇選擇權匯率連動亞洲選擇權Exotic optionQuanto optionAsian 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:22
期刊論文
1.Harrison, J. Michael、Pliska, Stanley R.(1981)。Martingales and Stochastic Integrals in the Theory of Continuous Trading。Stochastic Processes and Their Applications,11(3),215-260。  new window
2.Harrison, J. M.、Kreps, D. M.(1979)。Martingales and Arbitrage in Multiperiod Securities Markets。Journal of Economic Theory,20(3),381-408。  new window
3.Turnbull, Stuart M.、Wakeman, Lee MacDonald(1991)。A quick algorithm for pricing European average options。The Journal of Financial and Quantitative Analysis,26(3),377-389。  new window
4.Bouaziz, L.、Briys, E.、Crouhy, M.(1994)。The Pricing of Forward-starting Asian Options。Journal of Banking & Finance,18(5),823-839。  new window
5.Milevsky, M. A.、Posner, S. E.(1998)。Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution。Journal of Financial and Quantitative Analysis,33(3),409-422。  new window
6.Vorst, A. C. F.、Kemna, A. G. Z.(1990)。A Pricing Method for Options Based on Average Asset Values。Journal of Banking & Finance,14(May),113-129。  new window
7.Reiner, E.(1992)。Quanto Mechanics。Risk,5(3),59-63。  new window
8.Conze, A.、Viswanathan, M.(1991)。European Path Dependent Options: The Case of Geometric Averages。Finance,12,7-22。  new window
9.Levy, E.(1992)。Pricing European Average Rate Currency Rate Currency Options。Journal of International Money and Finance,11(5),474-491。  new window
10.Tsao, C. Y.、Chang, C. C.、Lin, C. G.(2003)。Analytic Approximation Formulate for Pricing Forward-Starting Asian Options。The Journal of Futures Markets,23(5),487-516。  new window
圖書
1.Klebaner, Fima C.(1998)。Introduction to Stochastic Calculus with Applications。London:Imperial College Press, Inc.。  new window
2.Karatzas, Ioannis、Shreve, Steven E.(1991)。Brownian Motion and Stochastic Calculus。Springer-Varlag。  new window
3.Musiela, M.、Rutkowski, M.(1997)。Martingale Methods in Financial Modelling。Martingale Methods in Financial Modelling。Berlin, Germany/ Heidelberg, Germany/ New York, NY:Springer。  new window
4.Duffie, D.(1988)。Security Markets: Stochastic Models。New York, NY。  new window
 
 
 
 
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