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題名:波動率模型之預測、評價與避險--以臺指選擇權為例
書刊名:證券市場發展季刊
作者:莊益源 引用關係蔡宗閔賴振耀
作者(外文):Chuang, I-yuanTsai, Tsung-minLai, Cheng-yao
出版日期:2009
卷期:21:2=82
頁次:頁69-118
主題關鍵詞:指數選擇權隱含波動率波動率預測選擇權評價選擇權避險VIXIndex optionImplied volatilityVolatility forecastsOption pricingOption hedging
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(1) 博士論文(1) 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:11
  • 點閱點閱:58
期刊論文
1.Blair, Bevan、Poon, Ser-Huang、Taylor, Stephen J.(2001)。Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High-frequency Index Returns。Journal of Econometrics,105,5-26。  new window
2.Christensen, B. J. and C. S. Hansen(2002)。“New Evidence on the Implied Realized Volatility Relation,”。European Journal of Fiance,vol. 8,187-205。  new window
3.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。  new window
4.Britten-Jones, M.、Neuberger, A.(2000)。Option Prices, Implied Price Process, and Stochastic Volatility。Journal of Finance,55(2),839-866。  new window
5.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
6.Ederington, L. H.、W. Guan(2002)。Measuring Implied Volatility: Is an Average Better Which Average?。The Journal of Futures Markets,22,811-837。  new window
7.林建甫、張焯然(19960900)。ARCH族模型估計與檢定的問題。經濟論文叢刊,24(3),339-355。new window  延伸查詢new window
8.Corrado, Charles J.、Su, T.(1996)。Skewness and kurtosis in S&P 500 index returns implied by option prices。Journal of Financial Research,19(2),175-192。  new window
9.George, T. J.、Longstaff, F. A.(1993)。Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market。Journal of Financial and Quantitative Analysis,28(3),381-397。  new window
10.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
11.Day, T. E.、Lewis, C. M.(1988)。The Behavior of the Volatility Implicit in the Prices of Stock Index Options。Journal of Financial Economics,22(1),103-122。  new window
12.Yang, D.、Zhang, Q.(2000)。Drift-Independent Volatility Estimation Based on Close Prices。Journal of Business,73(3),477-491。  new window
13.Xu, X.、Taylor, S. J.(1994)。The Term Structure of Volatility Implied by Foreign Exchange Options。Journal of Financial and Quantitative Analysis,29(1),57-74。  new window
14.Harvey, C. R.、Whaley, R. E.(1991)。S&P 100 Index Option Volatility。The Journal of Finance,46(4),1551-1561。  new window
15.Lehar, A.、Scheicher, M.、Schittenkopf, C.(2002)。GARCH vs. stochastic volatility: option pricing and risk management。Journal of Banking and Finance,26,323-345。  new window
16.Gemmill, G.(1986)。The forecasting performance of stock options on the London traded options market。Journal of Business Finance & Accounting,13(4),535-546。  new window
17.Lamoureux, Christopher G.、Lastrapes, William D.(1993)。Forecasting Stock-return Variance: Toward an Understanding of Stochastic Implied Volatilities。The Review of Financial Studies,6(2),293-326。  new window
18.Chu, S. H.、Freund, S.(1996)。Volatility Estimation for Stock Index Option: GARCH Approach。The Quarterly Review of Economics and Finance,36(4),431-450。  new window
19.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
20.Black, Fischer(1976)。The Pricing of Commodity Contracts。Journal of Financial Economics,3(1/2),167-179。  new window
21.Christensen, Bent J.、Prabhala, Nagpumanand R.(1998)。The Relation between Implied and Realized Volatility。Journal of Financial Economics,50(2),125-150。  new window
22.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
23.Jorion, P.(1995)。Predicting Volatility in the Foreign Exchange Market。Journal of Finance,50(2),507-528。  new window
24.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。  new window
25.Jiang, George J.、Tian, Yisong S.(2005)。The Model-Free Implied Volatility and Its Information Content。Review of Financial Studies,18(4),1305-1342。  new window
26.Schmalensee, Richard、Trippi, Robert R.(1978)。Common Stock Volatility Expectations Implied by Option Premia。Journal of Finance,33(1),129-147。  new window
27.Chiras, Donald P.、Manaster, Steven(1978)。The Information Content of Option Prices and a Test of Market Efficiency。Journal of Financial Economics,6(2/3),213-234。  new window
28.Day, Theodore E.、Lewis, Craig M.(1992)。Stock Market Volatility and the Information Content of Stock Index Options。Journal of Econometrics,52(1/2),267-287。  new window
29.Canina, Linda、Figlewski, Stephen(1993)。The informational Content of Implied Volatility。The Review of Financial Studies,6(3),659-681。  new window
30.Donders, Monique W. M.、Vorst, Ton C. F.(1996)。The Impact of Firm Specific News on Implied Volatilities。Journal of Banking and Finance,20(9),1447-1461。  new window
31.Dumas, Bernard、Fleming, Jeff、Whaley, Robert E.(1998)。Implied Volatility Functions: Empirical Tests。Journal of Finance,53(6),2059-2106。  new window
32.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
33.Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。  new window
34.Andersen, Torben Gustav、Bollerslev, Tim(1998)。Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts。International Economic Review,39(4),885-905。  new window
35.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。  new window
36.Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Labys, Paul(2001)。The Distribution of Realized Exchange Rate Volatility。Journal of the American Statistical Association,96(453),42-55。  new window
37.Andersen, Torben G.、Bollerslev, Tim、Lange, Steve(1999)。Forecasting Financial Market Volatility: Sample Frequency vis-a-vis Forecast Horizon。Journal of Empirical Finance,6(5),457-477。  new window
38.Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business,53(1),61-65。  new window
39.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
40.Day, T. E. and C. M. Lewis(1993)。“Forecasting Futures Market Volatility,”。Journal of Derivatieves,vol. 52,33-50。  new window
41.Duan, J. C. and H. Zhang(2001)。“Pricing Hang Seng Inex Options around the Asian Financial Crisis – A GARCH Approach,”。Journal of Banking and Finance,1989-2014。  new window
42.Feinstein, S. P.(1989)。“Forecasting Stock Market Volatility Using Options on Index Futures,”。Economic Review, Federal Reserve Bank of Atlanta,vol. 74,12-30。  new window
43.Franks, J. R. and E. S. Schwartz(1991)。“The Stochastic Behaviour of Market Variance Implied in the Prices of Index Options,”。Economic Journal,vol. 101,1460-1475。  new window
44.Fleming, J., B. Ostdiek and R. E. Whaley(1995)。“Pedicting Stock Market Volatility: Using Realized Volatility,”。Journal of Futures Market,vol. 15,265-302。  new window
45.Fleming, J.、Ostdiek, B.、Whaley, R. E.(1996)。Trading Costs and Relative Rates of Price Discovery in the Stock, Futures, and Option Markets。Journal of Futures Markets,16,353-387。  new window
46.Hwang, S. and S. E. Satchell(2000)。“Market Risk and the Concept of Fundamental Volatility: Measuring Volatility Across Asset and Derivatives Markets and Testing for the Impact of Derivatives Markets on Financial Markets,”。Journal of Banking and Finance,vol. 24,759-785。  new window
47.Kroner, K. F.(1996)。“Creating and Using Volatility Forecasts,”。Derivatives Quarterly,vol. 3,39-53。  new window
48.Li, F.(2000)。Option Pricing: How Flexible Should the SPD Be?。Journal of Derivatives,7,49-65。  new window
49.Szakmary, A., E. Ors and J. K. Kim(2003)。“The Predictive Power of Implied Volatility: Evidence form 35 Futures Markets,”。Journal of Banking and Finance,vol. 27,2151-2175。  new window
研究報告
1.Ederington, L. H. and W. Guan(1999)。“The Information Frown in Option Prices,”。  new window
學位論文
1.張鐘霖(2003)。波動率模型預測能力的比較--以台指選擇權為例(碩士論文)。國立中正大學。  延伸查詢new window
2.陳正暉(2004)。「波動度資訊內涵暨預測模型之探究 ─以台灣股票市場為例」,新北市。  延伸查詢new window
圖書
1.Gemmill, G.(1993)。Options Pricing。U.K.:McGraw-Hill。  new window
2.Brown, S.(1990)。“Estimating Volatility,”。Financial options : from theory to practice。Chicago。  new window
 
 
 
 
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