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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
2. | Figlewski, Stephen(1989)。Options Arbitrage in Imperfect Markets。Journal of Finance,44(5),1289-1311。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
3. | Merton R.(1976)。Option Pricing When the Underlying Stock Returns are Discontinuous。Journal of Financial Economics,4,125-144。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
4. | Whaley, R. E.(1986)。Valuation of American futures options: Theory and Empirical Tests。Journal of Finance,41,127-150。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
5. | Dennis, P.、Mayhew, S.(2002)。Risk-neutral Skewness: Evidence from Stock Options。Journal of Financial and Quantitative Analysis,37,471-493。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
6. | Evnine, J.、Rudd, A.(1985)。Index Options: The early Evidence。The Journal of Finance,40,743-756。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
8. | Amin, K.、Coval, J. D.、Seyhun, H. N.(2004)。Index Option Prices and Stock Market Momentum。Journal of Business,77(4),835-873。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 延伸查詢![new window](/gs32/images/newin.png) |
10. | Hull, John C.、White, A.(1987)。The Pricing of Options on Assets with Stochastic Volatilities。Journal of Finance,42(2),281-300。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
11. | Black, Fischer(1976)。The Pricing of Commodity Contracts。Journal of Financial Economics,3(1/2),167-179。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
13. | Bates, David S.(1991)。The Crash of '87: Was It Expected? The Evidence from Options Markets。Journal of Finance,46(3),1009-1044。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
17. | Rubinstein, Mark(1994)。Implied binomial trees。Journal of Finance,49(3),771-818。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 延伸查詢![new window](/gs32/images/newin.png) |
19. | Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
20. | Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica,55(3),703-708。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 延伸查詢![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
23. | Dumas, B, J. Fleming, and R. Whaley(1998)。“Implied Volatility Function: Empirical Test,”。Journal of Finance,53,pp.2059-2106。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
24. | Longstaff, F.(1995)。“Option Pricing and the Martingale Restriction,”。Review of Financial Studies,8,pp.1091-1124。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
25. | Mayhew S.(1995)。“Implied Volatility,”。Financial Analysts Journal,8-20。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |