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題名:不同波動性估計模型下臺指選擇權評價績效之比較
書刊名:臺灣期貨與衍生性商品學刊
作者:劉美纓 引用關係陳昶均
出版日期:2004
卷期:2
頁次:頁108-121
主題關鍵詞:臺指選擇權選擇權評價
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(2) 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:2
  • 共同引用共同引用:0
  • 點閱點閱:14
期刊論文
1.Whaley, Robert E.(1982)。Valuation of American Call Options on Dividend-Paying Stocks: Empirical Tests。Journal of Financial Economics,10(1),29-58。  new window
2.Rendleman, Richard J. Jr.、Latane, Henry A.(1976)。Standard Deviations of Stock Price Ratios Implied in Option Prices。The Journal of Finance,31(2),369-382。  new window
3.Bakshi, Gurdip、Cao, Charles、Chen, Zhiwu(1997)。Empirical Performance of Alternative Option Pricing Models。Journal of Finance,52(5),2003-2049。  new window
4.Day, T. E.、Lewis, C. M.(1988)。The Behavior of the Volatility Implicit in the Prices of Stock Index Options。Journal of Financial Economics,22(1),103-122。  new window
5.Vasilellis, G. A.、Meade, N.(1996)。Forecasting Volatility for Portfolio Selection。Journal of Business Finance and Accounting,23,125-143。  new window
6.Bhattacharya, M.(1980)。Empirical Properties of the Black Scholes Formula under Ideal Conditions。Journal of Financial and Quantitative Analysis,15,1081-1095。  new window
7.Fama, E. F.(1965)。The Behavior Stock Market Prices。The Journal of Business,38,34-105。  new window
8.Galai, D.(1977)。Tests of Market Efficiency of the Chicago Board of Option Exchange。Journal of Business,50,167-197。  new window
9.Lehar, A.、Scheicher, M.、Schittenkopf, C.(2002)。GARCH vs. stochastic volatility: option pricing and risk management。Journal of Banking and Finance,26,323-345。  new window
10.Rubinstein, M.(1985)。Nonparametric tests of alternative option pricing models using all reported trades and quotes on the 30 most active CBOE options classes from August 23, 1976 through August 31, 1978。Journal of Finance,40,455-480。  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.Beckers, S.(1981)。Standard Deviations Implied in Option Prices as Predictors of Future Stock Price Variability。Journal of Banking and Finance,5(3),363-382。  new window
13.MacBeth, J. D.、Merville, L. J.(1979)。An Empirical Examination of the Black-Scholes Call Option Pricing Model。Journal of Finance,34(5),1173-1186。  new window
14.Schmalensee, Richard、Trippi, Robert R.(1978)。Common Stock Volatility Expectations Implied by Option Premia。Journal of Finance,33(1),129-147。  new window
15.Chiras, Donald P.、Manaster, Steven(1978)。The Information Content of Option Prices and a Test of Market Efficiency。Journal of Financial Economics,6(2/3),213-234。  new window
16.Day, Theodore E.、Lewis, Craig M.(1992)。Stock Market Volatility and the Information Content of Stock Index Options。Journal of Econometrics,52(1/2),267-287。  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.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
21.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。  new window
研究報告
1.Meade, N.(1993)。The Integrated Generalized Autoregressive Conditional Heteroskedastic Model。San Diego, C.A.:Department of Economics, University of California。  new window
學位論文
1.鄭亦妏(2003)。在Black-Scholes評價模型下台指選擇權最適波動性估計方法之研究(碩士論文)。淡江大學。  延伸查詢new window
2.謝美凰(2003)。臺股指數選擇權評價之研究--探討不同波動性下B-S評價模型與二項式樹狀評價模型之差異(碩士論文)。中華大學。  延伸查詢new window
3.林佩蓉(2000)。Black-Scholes模型在不同波動性衡量下之表現--股價指數選擇權(碩士論文)。國立東華大學。  延伸查詢new window
4.林景智(2003)。不同價格及波動性估計模型下台指買權價格之比較分析(碩士論文)。輔仁大學。  延伸查詢new window
5.張鐘霖(2003)。波動率模型預測能力的比較--以台指選擇權為例(碩士論文)。國立中正大學。  延伸查詢new window
單篇論文
1.Fleming, J.(1991)。The rationality of market volatility forecasts implied by S&P 100 index options,Durham, NC.:Duke University。  new window
2.Lamoureux, C. G.,Lastrapes, W. D.(1990)。Forecasting Stock Return Variance: Toward an Understanding of Stochastic Implied Volatilities,St. Louis, MO:Washington University。  new window
 
 
 
 
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