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題名:動態隱含波動度模型:以臺指選擇權為例
書刊名:期貨與選擇權學刊
作者:郭維裕 引用關係陳威光 引用關係陳鴻隆林信助 引用關係
作者(外文):Kuo, Wei-yuChen, Wei-kuangChen, Hung-lungLin, Shinn-juh
出版日期:2009
卷期:2:2
頁次:頁47-89
主題關鍵詞:隱含波動度波動度函數不對稱GARCH波動度預測Delta避險Implied volatilityVolatility functionAsymmetric GARCHVolatility forecastingDelta-hedged
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(4) 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:4
  • 共同引用共同引用:26
  • 點閱點閱:37
期刊論文
1.Christoffersen, P.、Jacobs, K.(2004)。The Importance of the Loss Function in Option Valuation。Journal of Financial Economics,72(1),291-318。  new window
2.Ederington, L.、Guan, W.(2002)。Is Implied Volatility an Informationally Efficient and Effective Predictor of Future Volatility?。Journal of Risk,4(2),29-46。  new window
3.Jones, C. S.(2006)。A Nonlinear Factor Analysis of S&P 500 Index Option Returns。Journal of Finance,61(5),2325-2363。  new window
4.West, K. D.、Cho, D.(1995)。The Predictive Ability of Several Models of Exchange Rate Volatility。Journal of Econometrics,69(2),367-391。  new window
5.Hentschel, L.(1995)。All in the Family Nesting Symmetric and Asymmetric GARCH Models。Journal of Financial Economics,39(1),71-104。  new window
6.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
7.Hull, John C.、White, A.(1987)。The Pricing of Options on Assets with Stochastic Volatilities。Journal of Finance,42(2),281-300。  new window
8.李進生、鍾惠民、陳蟑朋(2000)。不同波動性模型預測能力之比較: 台灣與香港認購權證市場實證。證券市場發展季刊,11(4),57-89。new window  延伸查詢new window
9.林楚雄、劉維琪、吳欽杉(19990900)。不對稱GARCH模型的研究。管理學報,16(3),479-515。new window  延伸查詢new window
10.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
11.Black, Fischer(1976)。The Pricing of Commodity Contracts。Journal of Financial Economics,3(1/2),167-179。  new window
12.Christensen, Bent J.、Prabhala, Nagpumanand R.(1998)。The Relation between Implied and Realized Volatility。Journal of Financial Economics,50(2),125-150。  new window
13.Engström, M.(2002)。Do Swedes Smile? On Implied Volatility Functions。Journal of Multinational Financial Management,12(4/5),285-304。  new window
14.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
15.Jorion, P.(1995)。Predicting Volatility in the Foreign Exchange Market。Journal of Finance,50(2),507-528。  new window
16.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
17.Rosenberg, J. V.(2000)。Implied Volatility Functions A Reprise。The Journal of Derivatives,7,51-64。  new window
18.Rubinstein, Mark(1994)。Implied binomial trees。Journal of Finance,49(3),771-818。  new window
19.劉曦敏、葛豐瑞(19960100)。臺灣股價指數報酬率之線性及非線性變動。經濟研究. 臺北大學經濟學系,34(1),73-109。new window  延伸查詢new window
20.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
21.Fornari, F.、Mele, A.(1997)。Sign- and volatility-switching ARCH models: Theory and applications to international stock markets。Journal of Applied Econometrics,12(1),49-65。  new window
22.Noh, J.、Engle, R. F.、Kane, A.(1994)。Forecasting Volatility and Option Prices of the S&P 500 Index。Journal of Derivatives,2(1),17-30。  new window
23.Canina, Linda、Figlewski, Stephen(1993)。The informational Content of Implied Volatility。The Review of Financial Studies,6(3),659-681。  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.Dumas, Bernard、Fleming, Jeff、Whaley, Robert E.(1998)。Implied Volatility Functions: Empirical Tests。Journal of Finance,53(6),2059-2106。  new window
26.Hentschel, L.(2003)。Errors in Implied Volatility Estimation。Journal of Financial and Quantitative Analysis,38(4),779-810。  new window
27.Pagan, Adrian R.、Schwert, G. William(1990)。Alternative Models for Conditional Stock Volatility。Journal of Econometrics,45(1/2),264-290。  new window
28.Heston, Steven L.、Nandi, Salkat(2000)。A Closed-Form GARCH Option Valuation Model。The Review of Financial Studies,13(3),585-625。  new window
29.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
30.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。  new window
31.Campbell, John Y.、Hentschel, Ludger(1992)。No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns。Journal of Financial Economics,31(3),281-318。  new window
32.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
33.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。  new window
34.Goncalves, S. and M. Guidolin,(2006)。“Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface,”。The Journal of Business,79,1519-1635。  new window
學位論文
1.Feinstein, S. P.(1989)。A Theoretical and Empirical Investigation of the Black-Scholes Implied Volatility(博士論文)。Yale University,New Haven, CT。  new window
 
 
 
 
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