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題名:Forward-Price Method for Pricing Contingent Claims under Interest Rate, FX and Equity Risks
書刊名:財務金融學刊
作者:王昭文廖四郎 引用關係
作者(外文):Wang, Chou-wenLiao, Szu-lang
出版日期:2005
卷期:13:2
頁次:頁29-70
主題關鍵詞:美式選擇權遠期價格樹狀模型隱含即期資產價格樹狀模型American-style contingent claimsForward-price treesThe implied binomial or trinomial spot-price trees
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(1) 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:0
  • 點閱點閱:24
期刊論文
1.Amin, K.(1991)。On the Computation of Continuous Time Option Prices Using Discrete Approximations。Journal of Financial and Quantitative Analysis,26,477-496。  new window
2.Tian, Y.(1993)。A Modified Lattice Approach to Option Pricing。Journal of Futures Markets,13,563-577。  new window
3.Boyle, P. P.(1986)。Option valuation using a three jump process。International Options Journal,3,7-12。  new window
4.Heath, D. C.、Jarrow, R. A.、Morton, A. J.(1990)。Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation。Journal of Financial and Quantitative Analysis,25(4),419-440。  new window
5.Ritchken, P.(1995)。On Pricing Barrier Options。Journal of Derivatives,3(2),19-28。  new window
6.Boyle, P. P.(1988)。A lattice framework for option pricing with two state variables。Journal of Financial Quantitative Analysis,35,1-12。  new window
7.Geman, H.、El Karoui, N.、Rochet, J. C.(1995)。Change of numeraire, changes of probability measures and pricing of options。Journal of Applied Probability,32,443-458。  new window
8.Hull, J.、White, A.(1996)。Hsing Hull-White interest rate trees。The Journal of Derivatives。  new window
9.Hull. J.、White, A.(1994)。Numerical procedures for implementing term structure model II: two-factor models。The Journal of Derivatives,2,37-48。  new window
10.Jarrow, R.(1987)。The pricing of commodity options with stochastic interest rates。Advance in Futures Options Research,2,19-45。  new window
11.Madan, D.、Miline, F.、Shefrin, H.(1989)。The multinominal option pricing model and its Brownian and Poisson limits。Review of Financial Studies,2,251-265。  new window
12.Menkveld、Vorst(2000)。A pricing model for American options with Gaussian interest rates。Annals of Operations Research,100(1),211-226。  new window
13.Amin, K.、Jarrow, R.(1992)。Pricing options on risky assets in a stochastic interest economy。Mathematical Finance,2(4),217-237。  new window
14.Amin, Kaushik I.、Bodurtha, James N. Jr.(1995)。Discrete-Time Valuation of American Options with Stochastic Interest Rates。The Review of Financial Studies,8(1),193-234。  new window
15.Black, F.、Derman, E.、Toy, W.(1990)。A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options。Financial Analysts Journal,46(1),33-39。  new window
16.Ingersoll, J. E.(1977)。A contingent claims valuation of convertible securities。Journal of Financial Economics,4,289-322。  new window
17.McConnell, John J.、Schwartz, Eduardo S.(1986)。LYON Taming。Journal of Finance,41(3),561-576。  new window
18.Nelson, Daniel B.、Ramaswamy, Krishna(1990)。Simple binomial processes as diffusion approximations in financial Models。The Review of Financial Studies,3(3),393-430。  new window
19.Hull, J. C.、White, A.(1994)。Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models。The Journal of Derivatives,2(1),7-16。  new window
20.Ho, Thomas S. Y.、Lee, Sang Bin(1986)。Term Structure Movements and Pricing Interest Rate Contingent Claims。The Journal of Finance,41(5),1011-1029。  new window
21.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。  new window
22.Kamrad, B.、Ritchken, P.(1991)。Multinomial Approximating Models for Options with k-State Variables。Management Science,37(12),1640-1652。  new window
23.Brennan, M. J.、Schwartz, E. S.(1977)。Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion。Journal of Finance,32,1699-1715。  new window
24.Boyle, Phelim P.、Evnine, Jeremy、Gibbs, Stephen(1989)。Numerical Evaluation of Multivariate Contingent Claims。The Review of Financial Studies,2(2),241-250。  new window
25.Das, S. R.(1999)。A Direct Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in The Heath-Janow-Morton Model。Journal of Economic, Dynamics, and Control,23,333-369。  new window
研究報告
1.Geman, H.(1989)。The Importance of the Forward Neutral Probability in a Stochastic Approach of Interest Rates。ESSEC。  new window
2.El Karoui, N.、Rochet, J. C.(1989)。A Pricing Formula for Options on Coupon Bonds。SDEES。  new window
圖書
1.Musiela, M.、Rutkowski, M.(1997)。Martingale Methods in Finanicial Modelling。Berlin:Springer。  new window
 
 
 
 
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