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題名:賣權-買權-期貨平價關係之探討--以臺灣市場為例
書刊名:國立臺中技術學院學報
作者:卓翠月 引用關係朱國仁 引用關係
作者(外文):Cho, Tsui-yuehChu, Kuo-jen
出版日期:2005
卷期:6
頁次:頁25-39+41
主題關鍵詞:賣權-買權-期貨平價關係逆轉組合轉換組合Put-call-futures parityReversalConversion
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(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:8
  • 點閱點閱:11
期刊論文
1.Rubinstein, M.(1983)。Displaced Diffusion Option Pricing。Journal of Finance,38,213-217。  new window
2.Cheng, L. T. W.、Fung, J. K. W.、Chan, K. C.(2000)。Pricing Dynamics of Index Options and Index Futures in Hong Kong before and during the Asian Financial Crisis。Journal of Futures Markets,20(2),145-166。  new window
3.Cheng, L. T. W.、Fung, J. K. W.、Chan, K. C.(1997)。The Intraday Pricing Efficiency of Hong Kong Hang Seng Index Options and Futures Markets。The Journal of Futures Markets,17(7),797-815。  new window
4.Easton, S. A.(1997)。Put-Call Parity with Futures-Style Margining。Journal of Futures Markets,17(2),215-227。  new window
5.Stoll, H.(1969)。The relationship between put and call option prices。Journal of Finance,24(5),319-332。  new window
6.Fung, J. K. W.、Mok, H. M. K.(2001)。Index Options-Futures Arbitrage: A Comparative Study with Bid-Ask and Transaction Data。Financial Review,36(1),71-94。  new window
7.Booth, G. G.、So, R. W.、Tse, Y.(1999)。Price Discovery in the German Equity Index Derivatives Markets。The Journal of Futures Markets,19(6),619-643。  new window
8.Lee, J. H.、Nayar, N.(1993)。A Transactions Data Analysis of Arbitrage between Index Options and Index Futures。The Journal of Futures Markets,13(8),889-902。  new window
9.Geske, R.(1979)。The Valuation Compound Options。Journal of Financial Economics,7,63-81。  new window
10.Fleming, Jeff、Ostdiek, Barbara、Whaley, Robert E.(1996)。Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets。The Journal of Futures Markets,16(4),353-387。  new window
11.Finnerty, J. E.、Park, H. Y.(1987)。Stock Index Futures: does the Tail Wag the Dog。Financial Analysts Journal,43(2),57-61。  new window
12.Kawaller, I. G.、Koch, P. D.、Koch, T. W.(1987)。The temporal price relationship between S&P 500 futures and the S&P 500 index。The Journal of Finance,42(5),1309-1329。  new window
13.Chan, Kalok S.(1992)。A Further Analysis of the Lead-Lag Relationship Between the Cash Market and Stock Index Futures Market。Review of Financial Studies,5(1),123-152。  new window
14.Stoll, Hans R.、Whaley, Robert E.(1990)。The Dynamics of Stock Index and Stock Index Futures Returns。Journal of Financial and Quantitative Analysis,25(4),441-468。  new window
15.Fung, J. K. W.、Chan, K. C.(1994)。On the Arbitrage-Free Pricing Relationship Between Index Futures and Index Options: A Note。Journal of Futures Markets,14,957-962。  new window
16.Draper, Paul、Fung, Joseph K. W.(2002)。A Study of Arbitrage Efficiency Between The FTSE-100 Index Futures and Options Contracts。Journal of Futures Markets,22(1),31-58。  new window
17.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
18.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
19.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
20.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
學位論文
1.李昀薇(2004)。台股指數現貨、期貨與選擇權市場交互動態關聯之探討(碩士論文)。東海大學。  延伸查詢new window
2.黃亦駿(2003)。臺股指數選擇權市場效率性研究(碩士論文)。銘傳大學。  延伸查詢new window
3.郭政緯(2003)。台股指數期貨與選擇權套利性之實證研究(碩士論文)。東海大學。  延伸查詢new window
4.蔡垂君(2003)。臺灣股價指數期貨與現貨之實證研究(博士論文)。國立臺北大學。new window  延伸查詢new window
5.傅琡珺(2003)。臺灣期貨與選擇權市場之套利分析--以選擇權與期貨平價理論為例(碩士論文)。國立中山大學。  延伸查詢new window
6.朱國仁(2004)。期貨與選擇權跨市場避險與套利模式之研究(碩士論文)。朝陽科技大學。  延伸查詢new window
7.林萬里(1999)。SIMEX摩根台股指數期貨與期貨選擇權日內定價效率性之研究(碩士論文)。國立政治大學。  延伸查詢new window
8.施介人(2004)。台股指數現貨、期貨與選擇權價格發現之研究(碩士論文)。長庚大學。  延伸查詢new window
9.蔡佩珊(2003)。由選擇權與期貨平價理論檢測台灣期貨與選擇權市場之效率性(碩士論文)。逢甲大學。  延伸查詢new window
10.陳嘉添(2002)。買權賣權評價理論之套利研究:臺指選擇權對臺指期貨與交易所買賣基金對台指選擇權(碩士論文)。國立臺灣大學。  延伸查詢new window
圖書
1.Tucker, A. L.(1991)。Financial Futures, Options, and Swaps。St. Paul, MN:West Publishing Company。  new window
單篇論文
1.卓翠月,朱國仁(2004)。期貨與選擇權跨市場動態均衡之研究。  延伸查詢new window
 
 
 
 
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