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題名:臺指選擇權價格行為之實證研究
書刊名:中原企管評論
作者:周恆志王功亮李季芳
作者(外文):Chou, Heng-chihWang, DavidLee, Iris
出版日期:2007
卷期:5:1
頁次:頁111-134
主題關鍵詞:指數選擇權GARCH選擇權演算法Edgeworth GARCH演算法NGARCH模型套利效率Index optionGARCH optionEdgeworth GARCH option pricing algorithmNGARCHArbitrage efficiency
原始連結:連回原系統網址new window
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  • 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:22
  • 點閱點閱:30
期刊論文
1.Rubinstein, M.(1998)。Edgeworth Binomial Trees。The Journal of Derivatives,5(3),20-27。  new window
2.Duan, J.-C.、Gauthier, G.、Simonato, J.-G.(1999)。An analytical approximation for the GARCH option pricing model。Journal of Computational Finance,2(4),75-116。  new window
3.Hsieh, K. C.、Ritchken, P.(2005)。An empirical comparison of GARCH option pricing models。Review of Derivatives Research,8,129-150。  new window
4.Duan, J. C.、Zhang, H.(2001)。Pricing Hang Seng index options around the Asian financial crisis- A GARCH approach。Journal of Banking and Finance,25(11),1989-2014。  new window
5.周恆志、巫春洲(20060100)。Edgeworth GARCH選擇權演算法的實證應用。證券市場發展季刊,17(4)=68,155-190。new window  延伸查詢new window
6.Bakshi, Gurdip、Cao, Charles、Chen, Zhiwu(1997)。Empirical Performance of Alternative Option Pricing Models。Journal of Finance,52(5),2003-2049。  new window
7.Harvey, C. R.、Whaley, R. E.(1992)。Market Volatility Prediction and the Efficiency of S&P 100 Index Options Market。Journal of Financial Economics,31(1),43-73。  new window
8.Hanke, M.(1997)。Neural Network Approximation of Option Pricing Formulas for Analytically Intractable Option Pricing Models。Journal of Computational Intelligence in Finance,5(5),20-27。  new window
9.莊益源、張鐘霖、王祝三(20030600)。波動率模型預測能力的比較--以臺指選擇權為例。臺灣金融財務季刊,4(2),41-63。new window  延伸查詢new window
10.周恆志、杜玉振(20050700)。臺指選擇權市場之套利效率。管理與系統,12(3),1-26。new window  延伸查詢new window
11.Duan, J.-C.(1995)。The GARCH Option Pricing Model。Mathematical Finance,5(1),13-32。  new window
12.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
13.Dumas, Bernard、Fleming, Jeff、Whaley, Robert E.(1998)。Implied Volatility Functions: Empirical Tests。Journal of Finance,53(6),2059-2106。  new window
14.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
15.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
16.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
17.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。  new window
18.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
19.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。  new window
20.Duan, J.-C., and J. G. Simonato(1998)。“Empirical Martingale Simulation for Asset Prices,”。Management Science,vol.44,1218-1233。  new window
21.Duan, J.-C. and J. G. Simonato(2001)。“American Option Pricing under GARCH by a Markov Chain Approximation,”。Journal of Economic Dynamics and Control,vol.25,no.11,1689-1718。  new window
22.Duan, J.-C., G. Gauthier, J. G Simonato and C. Sasseville(2003)。“Approximation American Option Prices in the GARCH Framework,”。Journal of Futures Markets,vol.23,no.10,915-929。  new window
23.Heston, S. and S. Nandi(2000)。“A closed-form GARCH option pricing model,”。Review of Financial Studies,vol.13,586-625。  new window
24.Jarrow, R. and A. Rudd(1982)。“Approximate Options Valuation for Arbitrary Stochastic Processes,”。Journal of Financial Economics,vol.10,no.3,347-369。  new window
25.Lam, K., Chang E., and M.C. Lee(2002)。“An empirical test of the variance gamma option pricing model,”。Pacific-Basin Finance Journal,vol.10,267-285。  new window
26.Madan, D.B., and F. Milne(1991)。“Option pricing with VG martingale components,”。Mathematical Finance,vol.1,no.4,39-55。  new window
27.Madan, D.B., E. Seneta(1990)。“The variance gamma model for share market returns,”。Journal of Business,vol.63,no.4,511-524。  new window
28.Pena, I. G. Rubio, and G. Serna,(2001)。“Smiles, Bid-ask Spreads and Option Pricing,”。European Financial Management,vol.7,351-374。  new window
29.Ritchken, P. and R. Trevor(1999)。“Pricing Options Under Generalized GARCH and Stochastic Volatility Process,”。Journal of Finance,vol.54,337-402。  new window
會議論文
1.Black, Fisher(1976)。Studies of Stock Price Volatility Changes。The 1976 Meeting of Business and Economic Statistics Section。American Statistical Association。177-181。  new window
研究報告
1.Bates, D.S.(2002)。“Empirical Option Pricing: A Retrospection,”。  new window
 
 
 
 
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