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題名：臺指選擇權預期報酬率之探討
書刊名：證券市場發展季刊
作者：許溪南／何怡滿 引用關係／許羽呈
作者(外文)：Hsu, Hsinan／Ho, Emily／Hsu, Yu-cheng
出版日期：2012
卷期：24:2=94
頁次：頁179-214
主題關鍵詞：臺指選擇權；選擇權預期報酬率；槓桿效果；零β跨式策略；金融海嘯；TAIEX option；Expected option return；Leverage effect；Zero-beta straddle；Financial tsunami
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:0
  • 點閱點閱:69
期刊論文
1.Scott, L. O.(1997)。Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods。Mathematical Finance，7(4)，345-358。  new window
2.Bollen, N.、Whaley, R.(2004)。Does net Buying Pressure Affect the Shape of Implied Volatility Functions?。Journal of Finance，59(2)，711-753。  new window
3.Coval, J. D.、Shumway, T.(2001)。Expected Option Returns。Journal of Finance，56(3)，983-1009。  new window
4.Jones, C. S.(2006)。A Nonlinear Factor Analysis of S&P 500 Index Option Returns。Journal of Finance，61(5)，2325-2363。  new window
5.Hull, John C.、White, A.(1987)。The Pricing of Options on Assets with Stochastic Volatilities。Journal of Finance，42(2)，281-300。  new window
6.Jackwerth, J.(2000)。Recovering Risk Aversion from Option Prices and Realized Returns。Review of Financial Studies，13(2)，433-451。  new window
7.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy，81(3)，637-654。  new window
8.Lintner, John(1965)。The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets。Review of Economics and Statistics，47(1)，13-37。  new window
9.Mossin, Jan(1966)。Equilibrium in a Capital Asset Market。Econometrica，34(4)，768-783。  new window
10.Sharpe, William F.(1964)。Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk。The Journal of Finance，19(3)，425-442。  new window
其他
1.許溪南(2009)。出售Straddles，Strips與Straps等選擇權策略的最適履約價格：理論與實證。  延伸查詢new window
2.許溪南、吳依正與黃金生(2009)。台灣股價指數的股利估計及其對台指期貨定價的影響。  延伸查詢new window
3.曾緯仁(2008)。賣出選擇權跨式策略最適履約價之探討。  延伸查詢new window
4.Amin, K. and R. Jarrow(1992)。Pricing Options on Risky Assets in a Stochastic Interest Rate Economy。  new window
5.Bates, D. S.(2008)。The Market for Crash Risk。  new window
6.Bondarenko, O.(2003)。Why Are Put Options so Expensive?。  new window
7.Bookstaber, R. and R. Clarke(1983)。An Algorithm to Calculate the Return Distribution of Portfolios with Option Positions。  new window
8.Bookstaber, R. and R. Clarke(1984)。Option Portfolio Strategies: Measurement and Evaluation。  new window
9.Bookstaber, R. and R. Clarke(1985)。Problems in Evaluating the Performance of Portfolios with Options。  new window
10.Broadie, M., M. Chernov and M. Johannes(2008)。Understanding Index Option Returns。  new window
11.Gastineau, G. L. and A. Madansky(1979)。Why Simulations Are an Unreliable Test of Option Strategies。  new window
12.Merton, R. C., M. S. Scholes and M. L. Gladstein(1978)。The Returns and Risks of Alternative Call Option Portfolio Investment Strategies。  new window
13.Merton, R. C., M. S. Scholes and M. L. Gladstein(1982)。The Returns and Risks of Alternative Put Option Portfolio Investment Strategies。  new window
14.Neftci, S. N.(2000)。An Introduction to the Mathematics of Financial Derivatives。  new window
15.Santa-Clara, P. and A. Saretto(2005)。Option Strategies: Good Deals and Margin Calls。  new window
16.Tannous, G. F. and C. Lee-Sing(2008)。Expected Time Value Decay of Options: Implications for Put-Rolling Strategies。  new window
17.Wilkens, S.(2007)。Option Returns versus Asset-Pricing Theory: Evidence from the European Option Market。  new window
 
 
 
 
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