| 期刊論文1. | Zang, Jin E.、Xiang, Yi(2008)。The Implied Volatility Smirk。Quantitative Finance,8,263-284。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | 程言信、黃怡佳(20061200)。選擇權評價模型之實證分析--以臺指選擇權及S&P500選擇權為例。臺灣期貨與衍生性商品學刊,4,21-33。 延伸查詢![new window](/gs32/images/newin.png) | 3. | Borland, Lisa(2002)。Theory of non-Guassian Option Pricing。Quantitative Finance,2,415-431。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Borland, Lisa、Boucbaud, Jean-Philippe(2004)。A non-Guassian Option Pricing Model with Skew。Quantitative Finance,4,499-514。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 5. | Corrado, Charles J.、Su, Tie(1997)。Implied Volatility Skews and Stock Index skewness and Kurtosis Implied by S&P 500 Index Option Prices。Journal of Derivatives,4(4),8-19。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 6. | Heston, Steven L.(1993)。Close-form solution for Options with Stochastic Volatility, with Application to Bond and Currency Options。Review Finance Studies,6,327-343。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 7. | Rubinstein, M.(1985)。Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOH Option Classes Form August 23, 1976 through August 31, 1978。Journal of Finance,49,771-818。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Rubinstein, M.(1994)。Implied Binomial Tree。Journal of Finance,49,771-818。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 9. | Long, D. M.、Officer, D. T.(1997)。The Relation between Option Mispricing and Volume in the Black-Scholes Option Model。The Journal of Financial Research,20,1-12。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 10. | Madan, D. B.、Carr, P. P.、Chang, E. C.(1998)。The variance gamma process and option pricing。European Finance Review,2(1),79-105。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 11. | Bakshi, Gurdip、Cao, Charles、Chen, Zhiwu(1997)。Empirical Performance of Alternative Option Pricing Models。Journal of Finance,52(5),2003-2049。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 12. | Jarrow, Robert A.、Rudd, Andrew(1982)。Approximate Option Valuation for Arbitrary Stochastic Processes。Journal of Financial Economics,10(3),347-369。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 13. | Chu, S. H.、Freund, S.(1996)。Volatility Estimation for Stock Index Option: A GARCH Approach。The Quarterly Review of Economics and Finance,36(4),431-450。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 14. | Stoll, Hans R.、Whaley, Robert E.(1987)。Program Trading and Expiration-day Effects。Financial Analysts Journal,43(2),16-28。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 16. | Merton, Robert C.(1976)。Option Pricing When Underlying Stock Returns are Discontinuous。Journal of Financial Economics,3(1/2),125-144。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 17. | 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) | 研究報告1. | Backus, D.、Foresi, S.、Li, K.、Wu, L.(1996)。Accounting for Biases in Black-Scholes。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 學位論文1. | 陳書修(2006)。台指選擇權隱含波動率、偏態及峰態之資訊內涵(碩士論文)。臺灣大學。 延伸查詢![new window](/gs32/images/newin.png) | 圖書1. | Schoutens, Wim(2003)。Lévy Processes in Finance: Pricing Financial Derivatives。John Wiley & Sons, Inc.。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Christoffersen, Peter F.(2003)。Elements of financial risk management。Boston:Academic Press, Elsevier Science。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Hull, John C.(2006)。Options, Futures, and Other Derivatives。Upper Saddle River, New Jersey:The Pearson Press。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Tompkins, R. G.(1997)。Measuring equity volatilities。Equity Derivatives: Applications in Risk Management and Investment。London, UK:Risk Publications。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | |