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題名:指數選擇權之實證避險表現:SPX與TXO
書刊名:臺灣期貨與衍生性商品學刊
作者:韓傳祥 引用關係繆維正楊子慧
出版日期:2010
卷期:11
頁次:頁103-127
主題關鍵詞:免模型避險策略無母數波動率估計方法傅立葉轉換方法修正後傅立葉轉換方法
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:39
期刊論文
1.Zhang, L.、Mykland, P.(2005)。A tale of two time scales: Determining integrated volatility with noise high frequency data。Journal of American Statistics,100,1394-1411。  new window
2.Heston S.(1993)。A closed-form solution for option with stochastic volatility, with application to bond and currency options。Review of Financial Studies,6,327-343。  new window
3.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
4.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
5.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
6.Reno, R.(2008)。Nonparametric Estimation of the Diffusion Coefficient to Stochastic Volatility Models。Econometric Theory,24,1174-1206。  new window
7.Yung, Haynes H. M.、Zhang, H.(2003)。An empirical investigation of the GARCH option pricing model: Hedging performance。The Journal of Futures Markets,23,1191-1207。  new window
8.Jiang, G.J.(1998)。Nonparametric Modeling of U.S. Interest Term Structure Dynamic and Implications on the Prices of Derivative Securities。The Journal of Financial and Quantitative Analysis,33(4),465-497。  new window
9.Malliavin, P.、Mancino, M. E.(2002)。Fourier Series Method for Measurement of Multivariate Volatilities。Finance and Stochastics,6,49-61。  new window
10.Malliavin, P.、Mancino, M.E.(2009)。A Fourier Transform Method for Nonparametric Estimation of Multivariate Volatilities。The Annals of Statistics,37,1983-2010。  new window
研究報告
1.Han, C.-H.(2010)。Robust Hedging Performance and Volatility Risk in Option Markets。  new window
2.Avellaneda, M.、Lee, J.-H.(2008)。Statistical Arbitrage in the U.S. Equities Market。  new window
學位論文
1.Han, C.-H.、Liu, W.-H.、Chen, T.-Y.(2010)。An Improved Procedure for VaR/CVaR Estimation under Stochastic Volatility Models。  new window
圖書
1.Tsay, R. S.(2005)。Analysis of financial time series。Hoboken, NJ:Wiley-Interscience。  new window
2.Fouque, Jean-Pierre、Papanicolaou, George、Sircar, K. Ronnie(2000)。Derivatives in Financial Markets with Stochastic Volatility。Cambridge:Cambridge University Press。  new window
3.Gatheral, J.(2006)。The volatility surface。Wiely。  new window
4.Hull, J.C.(2008)。Options, Futures, and Other Derivatives。  new window
5.Hull, J.C.(2010)。Risk Management and Financial Institutions。  new window
6.Malliavin, P.、Thalmaier, A.(2010)。Stochastic Calculus of Variations in Mathematical Finance。  new window
 
 
 
 
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