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題名:天然資源專案投資計畫之評價--動態選擇權模擬法
書刊名:證券市場發展季刊
作者:林忠機 引用關係張傳章 引用關係陳依仁
作者(外文):Lin, Chung-geeChang, Chuang-changChen, Yi-jen
出版日期:2006
卷期:17:4=68
頁次:頁87-120
主題關鍵詞:美式選擇權動態規劃實質選擇權模擬法American-style optionsDynamic programmingReal optionsSimulation
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(1) 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:37
期刊論文
1.Baldursson, F. M.(1998)。Irreversible Investment under Uncertainty in Oligopoly。Journal of Economic Dynamics and Control,22,627-644。  new window
2.Baz, J.、Das, S. R.(1996)。Analytical Approximations of the Term Structure for Jump-Diffusion Process: A Numerical Analysis。Journal of Fixed Income,6,78-86。  new window
3.Boyle, P. P.(1977)。Options: A Monte Carlo Approach。Journal of Financial Economics,4,323-338。  new window
4.Brennan M. J.、Schwartz, E. S.(1978)。Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: ASynthesis。Journal of Financial and Quantitative Analysis,13,461-474。  new window
5.Brennan, M. J.、Schwartz, E. S.(1985)。Evaluating Natural Resource Investments。Journal of Business,58(2),135-158。  new window
6.Broadie, Mark、Glasserman, Paul(1997)。Pricing American-style securities using simulation。Journal of Economic Dynamics and Control,21,1323-1352。  new window
7.Castillo-Ramirez, A.(1999)。An application of natural resource evaluation using a simulation-dynamic programming approach。Journal of Computational Finance,3,91-107。  new window
8.Dixit, A. K.、Pindyck, R. S.(1995)。The option approach to capital investment。Havard Business Review,73(3),105-115。  new window
9.Grant, D.、Vora, G.、Weeks, D.(1996)。Simulation and the Early-Exercise Option Problem。Journal of Financial Engineering,5,211-227。  new window
10.Lambrecht, B.、Perraudin, W.(2003)。Real options and preemption under incomplete information。Journal of Economic Dynamics and Control,27(4),619-643。  new window
11.Longstaff, F. A.、Schwartz, E. S.(2001)。Valuing American Options by Simulation: A Simple Least-Square Approach。The Review of Financial Studies,14,113-147。  new window
12.Majd, S.、Pindyck, R. S.(1987)。Time to Build, Option Value, and Investment Decision。Journal of Financial Economics,18(1),7-27。  new window
13.Tilley, J. A.(1993)。Valuing American Options in a Path Simulation Model。Transactions of the Society of Actuaries,45,83-104。  new window
14.Schwartz, E. S.(1997)。The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging。Journal of Finance,52(3),923-973。  new window
15.Pindyck, Robert S.(1988)。Irreversible Investment, Capacity Choice, and the Value of the Firm。American Economic Review,78(5),969-985。  new window
16.Myers, S. C.、Majd, S.(1990)。Abandonment value and project life。Advances in Futures and Options Research,4,1-21。  new window
17.Boyle, Phelim P.(1988)。A lattice framework for option pricing with two state variables。Journal of Financial and Quantitative Analysis,23(1),1-12。  new window
18.Trigeorgis, L.、Mason, S. P.(1987)。Valuing Managerial Flexibility。Midland Corporate Finance Journal,5(1),14-21。  new window
19.Black, F.、Scholes, M.(1973)。The Pricing of Options &Corporate Liabilities。Journal of Political Economy,81,637-659。  new window
20.Barraquand, J.、Martineau, D.(1995)。Numerical Valuation of High Dimensional Multivariate American Securities。Journal of Financial and Quantitative Analysis,30,383-405。  new window
21.Raymar, S. B.、Zwecher, M. J.(1997)。A Monte Carlo Valuation of American Call Options On the Maximum of Several Stocks。Journal of Derivatives,5,7-23。  new window
22.Chan, Kalok C.、Karolyi, George Andrew、Longstaff, Francis A.、Sanders, Anthony B.(1992)。An Empirical Comparison of Alternative Models of the Short-term Interest Rate。Journal of Finance,47(3),1209-1227。  new window
23.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
24.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。A Theory of the Term Structure of Interest Rates。Econometrica,53(2),385-407。  new window
25.Myers, Stewart C.(1977)。Determinants of Corporate Borrowing。Journal of Financial Economics,5(2),147-175。  new window
26.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。  new window
圖書
1.Copeland, T. E.、Weston, J. F.、Shastri, K.(2005)。Financial Theory and Corporate Policy。Pearson Addison Wesley。  new window
2.Schwartz, E. S.、Trigeorgis, L.(2001)。Real Options and Investment under Uncertainty。The MIT Press。  new window
3.Hull, John C.(2003)。Options, Futures, and Other Derivatives。Upper Saddle River, NJ:Practice Hall。  new window
4.Trigeorgis, Lenos(1996)。Real Options: Managerial Flexibility and Strategy in Resource Allocation。The MIT Press。  new window
 
 
 
 
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