:::

詳目顯示

回上一頁
題名:具有隱含選擇權之海外可轉換公司債評價分析
書刊名:財務金融學刊
作者:林忠機 引用關係張傳章 引用關係俞明德 引用關係黃一仁
作者(外文):Lin, Chung-geeChang, Chung-changYu, Min-tehHuang, Yi-jen
出版日期:2006
卷期:14:3
頁次:頁35-68
主題關鍵詞:信用風險匯率風險隱含選擇權海外可轉債模擬法Credit riskCurrency riskEmbedded optionEuro-convertible bondSimulation
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(2) 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:2
  • 共同引用共同引用:0
  • 點閱點閱:23
期刊論文
1.Kealhofer, S.(2003)。Quantifying Credit Risk I: Default Prediction。Financial Analysts Journal,59,30-44。  new window
2.Kealhofer, S.(2003)。Quantifying Credit Risk II: Debt Valuation。Financial Analysts Journal,59,78-92。  new window
3.Broadie, M.、Glasserman, P.(1997)。Pricing American-style securities using simulation。Journal of Economic Dynamics and Control,21(8),1323-1352。  new window
4.Boyle, Phelim P.(1977)。Options: A Monte Carlo Approach。Journal of Financial Economics,4(3),323-338。  new window
5.Tilley, J. A.(1993)。Valuing American Options in a Path Simulation Model。Transactions of the Society of Actuaries,45,83-104。  new window
6.Brennan, M. J.、Schwartz, E. S.(1980)。Analyzing Convertible Bonds。Journal of Financial and Quantitative Analysis,15(4),907-929。  new window
7.Ingersoll, J. E.(1977)。A contingent claims valuation of convertible securities。Journal of Financial Economics,4,289-322。  new window
8.McConnell, John J.、Schwartz, Eduardo S.(1986)。LYON Taming。Journal of Finance,41(3),561-576。  new window
9.Cox, J. C.、Ingersoll, J. E.、Ross, S. A.(1985)。A Theory of the Term Structure of Interest Rate。Econometrica,53(2),385-408。  new window
10.Longstaff, Francis A.、Schwartz, Eduardo S.(1995)。A Simple Approach to Valuing Risky Fixed and Floating Rate Debt。Journal of Finance,50(3),789-819。  new window
11.Barraquand, J.、Martineau, D.(1995)。Numerical Valuation of High Dimensional Multivariate American Securities。Journal of Financial and Quantitative Analysis,30,383-405。  new window
12.Raymar, S. B.、Zwecher, M. J.(1997)。A Monte Carlo Valuation of American Call Options On the Maximum of Several Stocks。Journal of Derivatives,5,7-23。  new window
13.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
14.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
15.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。  new window
16.Nelder, J. A.、Mead, R.(1965)。A Simplex Method for Function Minimization。Computer Journal,7,308-313。  new window
17.Hung, M. W.、Wang, J. Y.(2002)。Pricing Convertible Bonds Subject to Default Risk。The Journal of Derivatives,10,75-87。  new window
18.Castillo-Ramirez, A.(1999)。An Application of Natural Resource Evaluation Using a Simulation-dynamic Programming Approach。Journal of Computational Finance,3,91-107。  new window
19.Boyle, P. P.(1988)。A Lattice Framework for Option Pricing when There Are Two State Variables。Journal of Financial and Quantitative Analysis,23,1-12。  new window
20.Brennan, M. J.、Schwartz, E. S.(1977)。Convertible Bond: Valuation and Optimal Strategies for Call and Conversion。The Journal of Finance,32,1699-1715。  new window
21.Brennan, M. J.、Schwartz, E. S.(1978)。Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims。Journal of Financial and Quantitative Analysis,13,461-474。  new window
22.Grant, D.、Vora, G.、Weeks, D.(1996)。Simulation and the Early-exercise Option Problem。Journal of Financial Engineering,5,211-227。  new window
23.Longstaff, F. A.、Schwartz, E. S.(2001)。Value American Options by Simulation: A Simple Least-squares Approach。The Review of Financial Studies,4,113-147。  new window
24.Takahashi, A.、Kobayashi, T.、Nakagawa, N.(2001)。Pricing Convertible Bonds with Default Risk。The Journal of Fixed Income,11,20-29。  new window
會議論文
1.Lin, C.-G.、Chang, C.-C.、Yu, M.-T.(2003)。The Valuation of A Euro-convertible Bond。0。115-122。  new window
圖書
1.Hull, John C.(2003)。Options, Futures, and Other Derivatives。Upper Saddle River, NJ:Practice Hall。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top