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題名:跳躍-發散與隨機波動模型之衍生性商品最適避險策略--快速傅立葉轉換之應用
書刊名:證券市場發展季刊
作者:涂登才劉祥熹林丙輝 引用關係
作者(外文):Tu, Teng-tsaiLiu, Hsiang-hsiLin, Bing-huei
出版日期:2012
卷期:24:4=96
頁次:頁187-224
主題關鍵詞:跳躍-發散隨機波動快速傅立葉轉換最小避險風險法條件風險值避險Jump-diffusionStochastic volatilityFast Fourier transformDelta-Gamma neutralConditional VaR hedge
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(1) 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:1
  • 共同引用共同引用:0
  • 點閱點閱:24
Other
1.Merton, R. C.(1976)。Option Pricing When Underlying Stock Return Are Discontinuous。  new window
期刊論文
1.Eraker, Bjørn(2004)。Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices。Journal of Finance,59(3),1367-1403。  new window
2.Bakshi, Gurdip、Cao, Charles、Chen, Zhiwu(1997)。Empirical Performance of Alternative Option Pricing Models。Journal of Finance,52(5),2003-2049。  new window
3.Rockafellar, R. T.、Uryasev, S.(2000)。Optimization of Conditional Value-at-Risk。Journal of Risk,2(3),21-42。  new window
4.Hull, John C.、White, A.(1987)。The Pricing of Options on Assets with Stochastic Volatilities。Journal of Finance,42(2),281-300。  new window
5.Duarte, A. M. Jr.(1998)。Optimal Value at Risk Hedge Using Simulation Methods。Derivatives Quarterly,5(2),67-75。  new window
6.Bakshi, G.、Madan, D. B.(2000)。Spanning and Derivative Security Valuation。Journal of Financial Economics,55(2),205-238。  new window
7.Samuelson, P. A.(1965)。Rational Theory of Warrant Pricing。Industrial Management Review,6(2),13-32。  new window
8.Artzner, Philippe、Delbaen, Freddy、Eber, Jean-Marc、Heath, David(1999)。Coherent measures of risk。Mathematical Finance,9(3),203-228。  new window
9.Heston, Steven L.(1993)。A Closed-form Solution for Options With Stochastic Volatility With Applications to Bond and Currency Options。Review of Financial Studies,6(2),327-343。  new window
其他
1.Alexander, G. J.; Baptista, A. M.(2003)。Portfolio Performance Evaluation Using Value at Risk。  new window
2.Alexander, S.; Coleman, T. F.; Li, Y.(2004)。Derivative Portfolio Hedging Based on CVaR。  new window
3.Alexander, S.; Coleman, T. F.; Li, Y.(2006)。Minimizing CVaR and VaR for a Portfolio of Derivatives。  new window
4.Bachelier, L.(1900)。Theorie de la. Speculation。  new window
5.Bates, D.(1996)。Jump and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options。  new window
6.Benth, F. E.; Saltyte-Benth, J.(2005)。Analytical Approximation for the Price Dynamics of Spark Spread Options。  new window
7.Black, F.; Scholes, M.(1973)。The Pricing of Options and Coporate Liabilities。  new window
8.Borak, S.; Detlefsen, K.; Hardle, W.(2005)。FFT Based Option Pricing, Statistical Tools for Finance and Insurance。  new window
9.Boyle, K. A.; Coleman, T. F.; Li, Y.(2003)。Hedging a Portfolio of Derivatives by Modeling Cost。  new window
10.Carr, P.; Madan, D.(1999)。Option Valuation Using the Fast Fourier Transform。  new window
11.Coleman, T. F.; Kim, Y.; Li, Y.; Patron, M.(2007)。Robustly Hedging Variable Annuities with Guarantees under Jump and Volatility Risks。  new window
12.Cox, J. C.; Ross, S. A.(1976)。A Valuation of Options for Alternative Stochastic Processes。  new window
13.Detlefsen, K.(2005)。Hedging Exotic Options in Stochastic Volatility and Jump Diffusion Models。  new window
14.Horst, E. T.; Wolpert, R. L.; Malone, S. W.(2006)。Pricing and Hedging Options on Assets Driven by Infinitely Divisible Vector Processes。  new window
15.Mausser, H.; Rosen, D.(1999)。Efficient Risk/Return Frontiers for Credit Risk。  new window
16.Rockafellar, R. T.; Uryasev, S.(2002)。Conditional Value-at-Risk for General Loss Distributions。  new window
17.Roon, F. De; Veld, C.; Wei, J. Z.(1995)。A Study on the Efficiency of the Market for Dutch Long Term Call Options。  new window
18.Schoutens, W.; Simons, E.; Tistaert, J.(2004)。A Perfect Calibration! Now What?。  new window
19.Walker, J. S.(1991)。Fast Fourier Transforms。  new window
20.Windcliff, H.; Forsyth, P. A.; Vetzal, K. R.(2003)。Pricing Methods and Hedging Strategies for Volatility Derivatives。  new window
 
 
 
 
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