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題名:Edgeworth GARCH選擇權演算法的實證應用
書刊名:證券市場發展季刊
作者:周恆志巫春洲
作者(外文):Chou, Heng-chihWu, Chun-chou
出版日期:2006
卷期:17:4=68
頁次:頁155-190
主題關鍵詞:選擇權評價法Edgeworth GARCH選擇權演算法認購權證Option pricing modelNGARCHEdgeworth GARCH option pricing algorithmCovered warrant
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(4) 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:19
  • 點閱點閱:45
期刊論文
1.巫春洲(2002)。認購權證價格行為之實證研究。管理學報,19(4),759-779。new window  延伸查詢new window
2.林丙輝、王明傳(2000)。台灣證券市場認購權證評價與避險之實證研究。證券市場發展季刊,13(1),1-29。  延伸查詢new window
3.Anderson, T.、Benzoni, L.、Lund, J.(2002)。An Empirical Investigation of Continuous-time Equity Return Model。Journal of Finance,57,1239-1284。  new window
4.Bates, D.(2000)。Post-'87 Crash Fears in S&P 500 Futures Options。Journal of Econometrics,94,181-238。  new window
5.Aggarwal, R.、Rao, P.(1990)。Institutional Ownership and Distribution of Equity Returns。The Financial Review,25,211-229。  new window
6.Duan, J. C.、Gauthier, G.、Simonato, J. G.(1999)。An Analytical Approximation for the GARCH Option Pricing Model。Journal of Computational Finance,2,75-116。  new window
7.Corrado, C.、Su, T.(1997)。Implied Volatility Skews and Stock Return Skewness and Kurtosis Implied by Stock Option Prices。European Journal of Finance,3,73-85。  new window
8.Corrado, C.、Su, T.(1996)。Skewness and Kurtosis in S&P 500 Index Returns Implied by Option Prices。Journal of Financial Research,19,175-192。  new window
9.Duan, J. C.、Simonato, J. G.(2001)。American Option Pricing under GARCH by a Markov Chain Approximation。Journal of Economic Dynamics and Control,25,1689-1718。  new window
10.Duan, J. C.、Zhang, Hua(2000)。Pricing Hang Seng Index Options around the Asian Financial Crisis- A GARCH Approach。Journal of Banking and Finance,25,1989-2014。  new window
11.Duan, J. C.、Gauthier, G.、Simonato, J. G.、Sasseville, C.(2003)。Approximation American Option Prices in the GARCH Framework。Journal of Futures Market,23,915-929。  new window
12.Eraker, B.、Johannes, M. S.、Polson, N.(2003)。The Impact of Jumps in Volatility and Returns。Journal of Finance,58,1269-1300。  new window
13.Heston, S.、Nandi, S.(2000)。A Closed-form GARCH Option Pricing Model。Review of Financial Studies,13,585-626。  new window
14.Jarrow, R.、Rudd, A.(1982)。Approximate Options Valuation for Arbitrary Stochastic Processes。Journal of Financial Economics,10,347-369。  new window
15.Lee, T. S.、Yang, C.(2000)。An Empirical Analysis of the Market Structure and the Price Behavior of Warrants: The Case of Taiwan。Taiwan Banking & Finance Quarterly,1,89-102。  new window
16.Lam, K.、Chang, E.、Lee, M. C.(2002)。An Empirical Test of the Variance Gamma Option Pricing Model。Pacific-Basin Finance Journal,10,267-285。  new window
17.Kallsen, J.、Taqqu, M.(1998)。Option Pricing in ARCH-Type Models。Mathematical Finance,8,13-26。  new window
18.Rubinstein, M.(1978)。Nonparametric Tests of Alternative Options 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
19.Pena, I.、Rubio, G.、Serna, G.(2001)。Smiles, Bid-ask Spreads and Option Pricing。European Financial Management,7,351-374。  new window
20.Ritchken, P.、Trevor, R.(1999)。Pricing Options under Generalized GARCH and Stochastic Volatility Process。Journal of Finance,54,337-402。  new window
21.Rubinstein, M.(1998)。Edgeworth Binomial Trees。Journal of Derivatives,5,20-27。  new window
22.Singleton, J. C.、Wingender, J.(1986)。Skewness Persistence in Common Stock Returns。Journal of Financial and Quantitative Analysis,21,335-341。  new window
23.Yung, H.、Zhang, H.(2003)。An Empirical Investigation of the GARCH Option Pricing Model: Hedging Performance。Journal of Futures Market,23,1191-1207。  new window
24.Bakshi, Gurdip、Cao, Charles、Chen, Zhiwu(1997)。Empirical performance of alternative option pricing models。Journal of Finance,52(5),2003-2049。  new window
25.Pan, J.(2002)。The Jump-risk Premia Implicit in Options: Evidence from an Integrated Time-series Study。Journal of Financial Economics,63,3-50。  new window
26.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
27.李怡宗、劉玉珍、李健瑋(19990900)。Black-Scholes評價模式在臺灣認購權證市場之實證。管理評論,18(3),83-104。new window  延伸查詢new window
28.Duan, J.-C.(1995)。The GARCH Option Pricing Model。Mathematical Finance,5(1),13-32。  new window
29.徐守德、官顯庭、黃玉娟(19980700)。臺股認購權證定價之研究。管理評論,17(2),45-69。new window  延伸查詢new window
30.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
31.Dumas, Bernard、Fleming, Jeff、Whaley, Robert E.(1998)。Implied Volatility Functions: Empirical Tests。Journal of Finance,53(6),2059-2106。  new window
32.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
33.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。  new window
34.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
35.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
36.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。  new window
研究報告
1.Hsieh, K. C.、Ritchken, P.(2000)。An Empirical Comparison of GARCH Option Pricing Models。Case Western Reserve University。  new window
圖書
1.Johnson, N. L.、Kotz, S.、Balakrishnan, N.(1994)。Continuous Univariate Distributions。New York:John Wiley and Sons。  new window
圖書論文
1.Mincer, J. A.、Zarnowitz, V.(1969)。The Evaluation of Economic Forecasts。Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance。New York:Columbia University Press。  new window
 
 
 
 
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