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題名:臺指選擇權於不同情境下適用之波動度模型分析
書刊名:財金論文叢刊
作者:程言信 引用關係陳少萍
出版日期:2008
卷期:8
頁次:頁62-77
主題關鍵詞:TXOVolatilityImplied volatility functionIVFGARCH model臺指選擇權期貨
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:0
  • 點閱點閱:26
期刊論文
1.Canina, L.、Figlewski, S.(1993)。The information content of implied volatility。Review of Financial Studies,6(3),659-681。  new window
2.鄭景文(200405)。波動率指數。建華投資月刊。  延伸查詢new window
3.Balaban, E.、Aslibayer, Robert, W.、FAFF(2006)。Forecasting Stock Market Volatility: Future。International Evidence' The European Journal of Finance,12(2),171-188。  new window
4.Louis, E.、Wei, G.(2004)。The information frown in option prices。Journal of Banking & Finance,29,1429-1457。  new window
5.Sofiane ABOURA(2005)。GARCH Option Pricing Under Skew。The ICFAI Journal of Applied Economics,6,78-86。  new window
6.Black, F.、Scholes, M.(1973)。The Valuation of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-659。  new window
7.Rendleman, Richard J. Jr.、Latane, Henry A.(1976)。Standard Deviations of Stock Price Ratios Implied in Option Prices。The Journal of Finance,31(2),369-382。  new window
8.Beckers, S.(1981)。Standard Deviations Implied in Option Prices as Predictors of Future Stock Price Variability。Journal of Banking and Finance,5(3),363-382。  new window
9.Christensen, Bent J.、Prabhala, Nagpumanand R.(1998)。The Relation between Implied and Realized Volatility。Journal of Financial Economics,50(2),125-150。  new window
10.Dumas, Bernard、Fleming, Jeff、Whaley, Robert E.(1998)。Implied Volatility Functions: Empirical Tests。Journal of Finance,53(6),2059-2106。  new window
學位論文
1.陳昶旭(200306)。不同波動性估計模型下台指選擇權評價績效比較(碩士論文)。東吳大學。  延伸查詢new window
2.黃怡佳(2006)。選擇權評價模型之實證分析--以台指選擇權及S&P500選擇權為例(碩士論文)。國立高雄應用科技大學。  延伸查詢new window
3.郭蘋慧(2007)。臺指選擇權評價及風險值估計(碩士論文)。國立高雄應用科技大學。  延伸查詢new window
圖書
1.Hull, J. C.(2006)。Futures and Other Derivative Securities。Englewood Cliffs:Prentice Hall。  new window
 
 
 
 
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