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題名:隨機模型下波動率的資訊內容:以臺灣為例
書刊名:臺灣期貨與衍生性商品學刊
作者:韓傳祥 引用關係張藝馨游雅媚
作者(外文):Han, Chuan-hsiangChang, Yi-hsinYeo, Ya-mei
出版日期:2011
卷期:12
頁次:頁1-27
主題關鍵詞:波動率修正後傅立葉轉換方法快速傅立葉轉換模型校準Monte Carlo模擬VolatilityCorrected Fourier transform methodFast Fourier transformModel calibrationMonte Carlo simulation
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:32
期刊論文
1.Carr, P.、Madan, D.(1999)。Option Valuation Using the Fast Fourier Transform。Journal of Computational Finance,2(4),61-73。  new window
2.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
3.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
4.Christoffersen, P.、Heston, S.、Jacobs, K.(2009)。The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well。Management Science,55(12),1914-1932。  new window
5.Han, C.-H.、Miao, W.-C.、Yang, T.-H.(2010)。指數選擇權之實證避險表現 : SPX 與TOX。臺灣期貨與衍生性商品學刊,11,103-127。  延伸查詢new window
6.Fouque, J.P.、Han, C.-H.(2008)。Asymmetric Variance Reduction for Pricing American Options。Mathematical Modelling and Methods in Finance,15。  new window
7.LeBaron, B.(2001)。Stochastic volatility as a simple generator of apparent financial power laws and long memory。Quantitative Finance,1,621-631。  new window
8.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
9.Reno, R.(2008)。Nonparametric Estimation of the Diffusion Coefficient to Stochastic Volatility Models。Econometric Theory,24,1174-1206。  new window
10.Zhang, J. E.、Zhu, Y.(2006)。VIX Futures。The Journal of Futures Markets,26(6),521-531。  new window
11.Fouque, J.P.、Papanicolaou, G.、Sircar, R.、Solnar, K.(2003)。Multiscale stochastic volatility asymptotics。SIAM Journal on Multiscale Modeling and Simulation,2(1),22-42。  new window
12.Fouque, J.-P.、Han, C.-H.(2007)。A martingale control variate method for option pricing with stochastic volatility。ESAIM: Probability and Statistics,11,40-54。  new window
13.Bandi, F.M.、Russell J.R.(2008)。Microstructure Noise, Realized Variance, and Optimal Sampling。The Review of Ecnomic Studies Limited,75,339-369。  new window
會議論文
1.Fouque, J.P.、Han, C.-H.、Lai, Y.(2009)。Variance Reduction for MC/QMC Methods to Eualuate Option Prices。  new window
研究報告
1.Luo, X.、Zhang, E.J.(2010)。The Term Structure of VIX。  new window
圖書
1.Fouque, Jean-Pierre、Papanicolaou, George、Sircar, K. Ronnie(2000)。Derivatives in Financial Markets with Stochastic Volatility。Cambridge:Cambridge University Press。  new window
2.Gatheral, J.(2006)。The volatility surface。Wiely。  new window
3.Cherubini, U.、Delia Lunga, G.、Mulinacci, S.、Rossi, P.(2010)。Fourier Transform Methods in Finance。  new window
4.Han, C.-H.(2010)。Robust Robust Hedging Performance and Volatility Risk in Option Markets。  new window
5.Engle, R.(2009)。Anticipating Correlations: A New Paradigm for Risk Management。  new window
6.Han, C.-H.、Liu, W.-H.、Chen, T.-Y.(2010)。An Improved Procedure for VaR/CVaR Estimation under Stochastic Volatility Models。  new window
7.Hull, J.C.(2008)。Options, Futures, and Other Derivatives。  new window
8.Kutner, M.H.、Nachtsheim, C.J.、Neter, J.、Li, W.(2005)。Applied Linear Statistical Models。  new window
9.Molina, G、Han, C.-H.、Fouque, J.P.(2010)。MCMC Estimation of Multiscale Stochastic Volatility Models。Handbook of Quantitative Finance and Risk Management。  new window
10.Wild, C.J.、Seber, G.A.F.(1999)。Chance Encounters: A First Course in Data Analysis and Inference。  new window
 
 
 
 
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