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題名:選擇權交易者是否能以隱含波動偏態預測危機?--以臺灣市場為例
書刊名:財金論文叢刊
作者:李瑞琳 引用關係林裕勝
作者(外文):Lee, Ruei-linLin, Yu-sheng
出版日期:2008
卷期:9
頁次:頁122-135
主題關鍵詞:隱含波動率隱含波動率偏態價性
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:30
期刊論文
1.Quandt, R. E.(1972)。A New Approach to Estimating Switching Regressions。Journal of the American Statistical Association,67(338),306-310。  new window
2.Chen, J.、Hong, H.、Stein, J. C.(2001)。Forecasting Crashes: Trading Volume, Past Returns, and Conditional Skewness in Stock Prices。Journal of Financial Economics,61(3),345-381。  new window
3.Jackwerth, J.、Rubinstein, M.(1996)。Recovering probability distributions from option prices。Journal of Finance,51(5),1611-1631。  new window
4.Rubinstein, M.(1976)。Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, through August 31, 1978。Journal of Finance,40(2),455-480。  new window
5.Bates, D.(2000)。Post-'87 crash fears in S&P500 futures options。Journal of Econometrics,94,181-238。  new window
6.Doran, J. S.、Peterson, D.R.、Tarrant, B.C.(2007)。Is there information in the volatility skew?。Journal of Future Markets,27,921-959。  new window
7.Franks, J. R.、Schwartz, E. S.(1991)。The stochastic behaviour of market variance implied in the prices of index options。The Economic Journal,101,1460-1475。  new window
8.Giot, P.(2005)。On the relationships between implied volatility indices and stock index returns。Journal of Portfolio Management,31,92-100。  new window
9.Navatte, P.、Villa, C.(2000)。The information content of implied volatility, skewness and kurtosis: empirical evidence from Long-term CAC 40 options。European Financial Management,6,41-56。  new window
10.Shastri, K.、Wethyavivorn, K.(1987)。The Valuation of Currency Options for Alternate Stochastic Processes。Journal of Financial Research,10,283-293。  new window
11.Dennis, P.、Mayhew, S.(2002)。Risk-neutral Skewness: Evidence from Stock Options。Journal of Financial and Quantitative Analysis,37,471-493。  new window
12.Goldfeld, S. M.、Quandt, R. M.(1973)。A Markov model for switching regressions。Journal of Econometrics,1(1),3-16。  new window
13.Bakshi, Gurdip、Cao, Charles、Chen, Zhiwu(1997)。Empirical Performance of Alternative Option Pricing Models。Journal of Finance,52(5),2003-2049。  new window
14.Van Winkle, John R.、Welsh, Gary R.(1993)。Origin, Development, and Current Status of Fiduciary Duties in Close Corporations: Has Indiana Adopted a Strict Good Faith Standard。Ind. L. Rev.,26,1216。  new window
15.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
16.Black, Fischer(1976)。The Pricing of Commodity Contracts。Journal of Financial Economics,3(1/2),167-179。  new window
17.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
18.Pan, Jun(2002)。The jump-risk premia implicit in options: Evidence from an integrated time-series study。Journal of Financial Economics,63,3-50。  new window
19.Wiggins, J. B.(1987)。Options Values under Stochastic Volatility: Theory and Empirical Estimates。Journal of Financial Economics,19(2),351-372。  new window
20.Fleming, Jeff(1998)。The Quality of Market Volatility Forecasts Implied by S&P 100 Index Option Prices。Journal of Empirical Finance,5(4),317-345。  new window
21.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
22.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
23.Rubinstein, Mark(1994)。Implied binomial trees。Journal of Finance,49(3),771-818。  new window
24.Gemmill, Gordon(1996)。Did option traders anticipate the crash? Evidence from volatility smiles in the U.K. with U.S. comparisons。Journal of Future Markets,16,881-897。  new window
25.Cox, John C.、Ross, Stephen A.(1976)。The Valuation of Options for Alternative Stochastic Processes。Journal of Financial Economics,3(1/2),145-166。  new window
26.Derman, E.、Kamal, M.、McClure, J.、Kani, I.、Zou, J.(1998)。Investing in Volatility。The Journal of Derivatives,1-11。  new window
27.Black, F.、Scholes, M.(1973)。The Price of Option and Corporate Liabilities。Journal of Political Economy,81,637-659。  new window
研究報告
1.Banerjee, R.、Doran, J.、Peterson, D.(2006)。Implied volatility and future portfolio returns。  new window
圖書
1.Goldfeld, S.、Quandt, M. R. E.(1972)。Nonlinear Methods in Econometrics。Amsterdam:North-Holland Publishing co.。  new window
單篇論文
1.Fleming, J.(1991)。The rationality of market volatility forecasts implied by S&P 100 index options,Durham, NC.:Duke University。  new window
圖書論文
1.Fitzgerald, D.(1999)。Trading volatility risk management and analysis。New Market and Products。  new window
 
 
 
 
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