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題名:臺指選擇權波動率微笑決定因子之研究
書刊名:期貨與選擇權學刊
作者:徐憶文溫恩孝李進生 引用關係吳壽山 引用關係
作者(外文):Shyu, Yih-wenWen, En-hsiaoLee, Chin-shenWu, Soushan
出版日期:2008
卷期:1:1
頁次:頁1-31
主題關鍵詞:隱含波動率波動率微笑選擇權評價Implied volatilityVolatility smileOption pricing
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(0) 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:16
  • 點閱點閱:60
期刊論文
1.Gwilm, O.P, and M. Buckle(1999)。“Volatility Forecasting in the Framework of the Option Expiry Cycle,”。The European Journal of Finance,5,pp.73-94。  new window
2.Figlewski, Stephen(1989)。Options Arbitrage in Imperfect Markets。Journal of Finance,44(5),1289-1311。  new window
3.Merton R.(1976)。Option Pricing When the Underlying Stock Returns are Discontinuous。Journal of Financial Economics,4,125-144。  new window
4.Whaley, R. E.(1986)。Valuation of American futures options: Theory and Empirical Tests。Journal of Finance,41,127-150。  new window
5.Dennis, P.、Mayhew, S.(2002)。Risk-neutral Skewness: Evidence from Stock Options。Journal of Financial and Quantitative Analysis,37,471-493。  new window
6.Evnine, J.、Rudd, A.(1985)。Index Options: The early Evidence。The Journal of Finance,40,743-756。  new window
7.Green, T. C.、Figlewski, S.(1999)。Market Risk and Model Risk for a Financial Institution Writing Options。Journal of Finance,54(4),1465-1499。  new window
8.Amin, K.、Coval, J. D.、Seyhun, H. N.(2004)。Index Option Prices and Stock Market Momentum。Journal of Business,77(4),835-873。  new window
9.倪衍森、吳曼華、鄭亦妏(2005)。在Black-Scholes評價模型下台指選擇權最適波動性估計方法之研究。管理科學研究,第二卷第一期。new window  延伸查詢new window
10.Hull, John C.、White, A.(1987)。The Pricing of Options on Assets with Stochastic Volatilities。Journal of Finance,42(2),281-300。  new window
11.Black, Fischer(1976)。The Pricing of Commodity Contracts。Journal of Financial Economics,3(1/2),167-179。  new window
12.Bollen, N. P. B.、Whaley, R. E.(2004)。Does Net Buying Pressure Affect the Shape of Implied Volatility Function。Journal of Finance,59(2),711-753。  new window
13.Bates, David S.(1991)。The Crash of '87: Was It Expected? The Evidence from Options Markets。Journal of Finance,46(3),1009-1044。  new window
14.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
15.Pena, I.、Rubio, G.、Serna, G.(1999)。“Why Do We Smile? On the Determinants of the Implied Volatility Function,”。Journal of Banking and Finance,23,1151–1179。  new window
16.Bakshi, G. S.、Kapadia, N.、Madan, D.(2003)。Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options。Review of Financial Studies,16(1),101-143。  new window
17.Rubinstein, Mark(1994)。Implied binomial trees。Journal of Finance,49(3),771-818。  new window
18.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
19.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
20.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica,55(3),703-708。  new window
21.聶建中、陳芾文、王友珊(2003)。金融機構承做選擇權的模型風險與市場風險。風險管理學報,第五卷第三期。new window  延伸查詢new window
22.Corrado, C.J. and T. Su(1997)。“Implied Volatility Skews and Stock Index Skewness and Kurtosis Implied by S&P500 Index Option Prices,”。Journal of Derivatives,4,pp.8-19。  new window
23.Dumas, B, J. Fleming, and R. Whaley(1998)。“Implied Volatility Function: Empirical Test,”。Journal of Finance,53,pp.2059-2106。  new window
24.Longstaff, F.(1995)。“Option Pricing and the Martingale Restriction,”。Review of Financial Studies,8,pp.1091-1124。  new window
25.Mayhew S.(1995)。“Implied Volatility,”。Financial Analysts Journal,8-20。  new window
26.Rubinstein, M.(1985)。“Non-parametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the Most Active CBOE Option Classes。Journal of Finance,40,pp.455-480。  new window
27.Sheikh, A.M.(1991)。“Transaction Data Tests of S&P 100 Call Option Pricing,”。Journal of Financial and Quantitative Analysis,26,pp.459-475。  new window
研究報告
1.Deuskar, P., A. Gupta, and, M.G. Subrahmanyam(2007)。“The Economic Determinants of Interest Rate Options Smiles,”。  new window
學位論文
1.潘文良(2004)。選擇權隱含機率分配之研究。  延伸查詢new window
圖書
1.Enders, Walter(1995)。Applied Econometric Time Series。John Wiley & Sons, Inc.。  new window
 
 
 
 
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