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題名:外匯選擇權買權市場之效率性檢測:以日圓和瑞士法郎為例
書刊名:企業管理學報
作者:吳明政王南喻 引用關係
作者(外文):Wu, Ming-chengWang, Nan-yu
出版日期:2007
卷期:75
頁次:頁77-100
主題關鍵詞:外匯選擇權避險策略市場效率性Foreign currency optionsHedging strategyMarket 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:1
  • 點閱點閱:24
期刊論文
1.董夢雲、俞明德、張傳章、張森林(2002)。在CIR利率期限結構與隨機波動性下外匯選擇權之訂價模型。管理學報,19(4),707-735。new window  延伸查詢new window
2.Barone, A. G.、Whaley, R. E.(1986)。The Valuation of American Call Options and the Expected Ex-dividend Stock Price Decline。Journal of Financial Economics,17,91-111。  new window
3.Biger, N.、Hull, J.(1983)。The Valuation of Currency Options。Financial Management,12,24-28。  new window
4.Bodurtha, J. N.、Courtadon, G. R.(1986)。Efficiency Tests of the Foreign Currency Option Market。Journal of Financial,41,161-162。  new window
5.Bodurtha, J. N.、Courtadon, G. R.(1987)。Tests of an American Option Pricing Model on the Foreign Currency Options Market。Journal of Financial and Quantitative Analysis,22,153-167。  new window
6.Bollen, N. P. B.、Rasiel, E.(2003)。The Performance of Alternative Valuation Models in the OTC Currency Options Market。Journal of International Money and Finance,22,33-54。  new window
7.Brice, D.(2006)。Information Content of Cross-Sectional Option Prices: A Comparison of Alternative Currency Option Pricing Models on the Japanese Yen。The Journal of Futures Markets,26,33-59。  new window
8.Choi, S.、Marcozzi, M. D.(2003)。The Valuation of Foreign Currency Options under Stochastic Interest Rates。Computers Mathematics with Applications,46,741-750。  new window
9.Daal, E. A.、Madan, D. B.(2005)。An Empirical Examination of the Variance-Gamma Model for Foreign Currency Options。Journal of Business,78,2121-2152。  new window
10.Feiger, G.、Jacquillat, B.(1979)。Currency Option Bonds, Puts and Calls on Spot Exchange and the Hedging of Contingent Foreign Earnings。Journal of Finance,34,1129-1139。  new window
11.Geske, R.(1979)。A Note on an Analytical Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends。Journal of Financial Economics,7,375-380。  new window
12.Gesser, V.、Poncet, P.(1997)。Volatility Patterns: Theory and some Evidence from the Dollar-Mark Option Market。The Journal of Derivatives,4,46-61。  new window
13.Grabbe, J. O.(1983)。The Pricing of Call and Put Options on Foreign Exchange。Journal of International Money and Finance,2(3),239-253。  new window
14.Harikumar, T.、De Boyrie, M. E.、Pak, S. J.(2004)。Evaluation of Black-Scholes and GARCH Models Using Currency Call Options Data。Review of Quantitative Finance and Accounting,23,299-312。  new window
15.Melino, A.、Turnbull, S. M.(1990)。Pricing Foreign Currency Options with Stochastic Volatility。Journal of Econometrics,45,239-265。  new window
16.Shastri, Kuldeep、Geske, Robert(1985)。The Early Exercise of American Puts。Journal of Banking and Finance,9,207-219。  new window
17.Shastri, K.、Tandon, K.(1985)。Arbitrage Tests of the Efficiency of the Foreign Currency Options Market。Journal of International Money and Finance,4,455-468。  new window
18.Shastri, K.、Tandon, K.(1986)。An Empirical Test of a Valuation Model for American Options on Futures Contracts。Journal of Financial and Quantitative Analysis,21,377-392。  new window
19.Shastri, K.、Tandon, K.(1986)。Valuation of Foreign Currency Options: Some Empirical Tests。Journal of Financial and Quantitative Analysis,21,145-160。  new window
20.Shastri, K.、Tandon, K.(1987)。On some Properties of Futures Volatility Implied in Option Prices。The Financial Review,22,111-133。  new window
21.Tucker, A. L.(1985)。Empirical Tests of the Efficiency of the Currency Option Market。The Journal of Financial Research,8,275-285。  new window
22.Lee, J. H.、Nayar, N.(1993)。A Transactions Data Analysis of Arbitrage between Index Options and Index Futures。Journal of Futures Markets,13(8),889-902。  new window
23.Bollen, N. P. B.、Gray, S. F.、Whaley, R. E.(2000)。Regime Switching in Foreign Exchange Rates: Evidence from Currency Option Prices。Journal of Econometrics,94(1),239-276。  new window
24.Garman, Mark B.、Kohlhagen, Steven W.(1983)。Foreign currency option values。Journal of International Money and Finance,2(3),231-237。  new window
25.劉德明(19940700)。Pricing Foreign-Currency Options: A Comparison of the Modified Black-Scholes Model and a Modified Merton Model。中國財務學刊,2(1),75-104。new window  new window
26.Roll, Richard(1977)。An Analytic Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends。Journal of Financial Economics,5(2),251-258。  new window
27.Merton, Robert C.(1976)。Option Pricing When Underlying Stock Returns are Discontinuous。Journal of Financial Economics,3(1/2),125-144。  new window
28.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
29.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。A Theory of the Term Structure of Interest Rates。Econometrica,53(2),385-407。  new window
30.Heston, Steven L.(1993)。A Closed-form Solution for Options With Stochastic Volatility With Applications to Bond and Currency Options。Review of Financial Studies,6(2),327-343。  new window
會議論文
1.盧彥顯、楊智烜、邢慰祖(2004)。隨機利率與隨機匯率波動下外匯選擇權之評價模型。2004台灣財務學術研討會。  延伸查詢new window
研究報告
1.Wasserfallen, W.、Zimmerman, H.(1986)。The Wiener Process, Variance Measurement and Option Pricing--Evidence from Intra-Daily Data on Foreign Exchange。Univ. of Bern and Hochschule St. Gallen。  new window
其他
1.Kunitomo, N.,Kim, Y. J.(2001)。Effects of Stochastic Interest Rates and Volatility on Contingent Claims,CIRJE, Faculty of Economics, University of Tokyo。  new window
 
 
 
 
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