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題名:在Black-Scholes評價模型下臺指選擇權最適波動性估計方法之研究
書刊名:管理科學研究
作者:倪衍森 引用關係吳曼華 引用關係鄭亦妏
作者(外文):Ni, Yen-senWu, Man-hwaJeng, Yi Wen
出版日期:2005
卷期:2:1
頁次:頁93-109
主題關鍵詞:股票選擇權隱含波動性Black-sholes模型TXOStock index optionVolatilityImplied volatilityBlack-scholes model
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:19
期刊論文
1.Day, T. E.、Lewis, C. M.(1988)。The Behavior of the Volatility Implicit in the Price of Stock Index Option。Journal of Finance Economics,22(1),103-122。  new window
2.Latane, H.、Rendleman, R.(1976)。Standard Deviations of Stock Price Ratios Implied in Optimal Prices。The Journal of Finance,31,369-381。  new window
3.Vasilellis, G. A.、Meade, N.(1996)。Forecasting Volatility for Portfolio Selection。Journal of Business Finance and Accounting,23,125-143。  new window
4.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
5.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
6.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
7.Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。  new window
8.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
9.Jorion, P.(1995)。Prediction Volatility in the Foreign Exchange Market。Journal of Finance,50,507-528。  new window
學位論文
1.趙其琳(1999)。波動性預測能力比較--台灣認購權證之實證研究(碩士論文)。淡江大學。  延伸查詢new window
2.薛吉廷(1999)。隱含波動預測品質之解析:台灣及美國市場之實證(碩士論文)。淡江大學。  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.陳煒朋(1999)。GARCH模型與隱含波動性模型預測能力之比較(碩士論文)。淡江大學。  延伸查詢new window
圖書
1.Hull, John(2003)。Futures and Other Derivative Securities。Englewood Cliffs:Prentice Hall。  new window
 
 
 
 
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