期刊論文1. | Amin, K. I.、Ng, V. K.(1997)。Inferring Future Volatility from the Information in Implied Volatility in Eurodollar Options: A New Approach。Review of Financial Studies,10(2),333-367。 |
2. | Bates, D. S.(2000)。Post-'87 crash fears in the S&P 500 futures option market。Journal of Econometrics,94(1/2),181-238。 |
3. | Campa, J.、Chang, K. H.(1995)。Testing the Expectation Hypothesis on the Term Structure of Volatilities。Journal of Finance,50(2),529-547。 |
4. | Chan, K. C.、Cheng, L. T. W.、Lung, P. P.(2004)。Net Buying Pressure, Volatility Smile, and Abnormal Profit of Hang Seng Index Options。Journal of Futures Markets,24(12),1165-1194。 |
5. | Chance, D. M.(1986)。Empirical Tests of the Pricing of Index Call Options。Advance in Futures and Options Research,1(A),141-166。 |
6. | Chang, C. C.、Hsieh, P. F.、Lai, H. N.(2009)。Do Informed Option Investors Predict Stock Returns? Evidence from the TaiwanStock Exchange。Journal of Banking and Finance,33(4),757-764。 |
7. | Chernov, M.、Gallant, R. R.、Ghysels, E.、Tauchen, G.(2003)。Alternative Models for Stock Price Dynamics。Journal of Econometrics,116(1/2),225-257。 |
8. | Cheung, Y.-W.、Ng, L. K.(1992)。Stock Price Dynamics and Firm Size: An Empirical Investigation。Journal of Finance,47(5),1985-1997。 |
9. | Duffee, G. R.(1995)。Stock Returns and Volatility: A Firm Level Analysis。Journal of Financial Economics,37(3),399-420。 |
10. | de Harris, F. H. B.、McInish, T. H.、Shoesmith, G. L.、Wood, R. A.(1995)。Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets。Journal of Financial and Quantitative Analysis,30(4),563-579。 |
11. | Johnson, Norman J.(1978)。Modified t Tests and Confidence Intervals for Asymmetrical Populations。Journal of the American Statistical Association,73(363),536-544。 |
12. | Liu, J.、Longstaff, F. A.(2004)。Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities。Review of Financial Studies,17(3),611-641。 |
13. | Naik, V.、Lee, M.(1990)。General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns。Review of Financial Studies,3(4),493-521。 |
14. | Sheikh, A. K.(1991)。Transaction Data Tests of S&P 100 Call Option Pricing。Journal of Financial and Quantitative Analysis,26(4),459-475。 |
15. | Shleifer, A.、Vishny, R. W.(1997)。The Limit of Arbitrage。Journal of Finance,52(1),35-55。 |
16. | Toft, K. B.、Prucyk, B.(1997)。Options on Leveraged Equity: Theory and Empirical Tests。Journal of Finance,52(3),1151-1180。 |
17. | Bates, D. S.(1996)。Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options。The Review of Financial Studies,9(1),69-107。 |
18. | Anderson, T. G.、Benzoni, L.、Lund, J.(2002)。An Empirical Investigation of Continuous-Time Equity Return Models。Journal of Finance,57(3),1239-1284。 |
19. | Rubinstein, M.(1976)。Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, through August 31, 1978。Journal of Finance,40(2),455-480。 |
20. | Dennis, P.、Mayhew, S.(2002)。Risk-neutral Skewness: Evidence from Stock Options。Journal of Financial and Quantitative Analysis,37,471-493。 |
21. | Chan, K. C.、Cheng, L. T. W.、Lung, P. P.(2003)。Moneyness and the response of the implied volatilities to price changes: The empirical evidence from HSI option。Pacific-Basin Finance Journal,11(4),527-553。 |
22. | Green, T. C.、Figlewski, S.(1999)。Market Risk and Model Risk for a Financial Institution Writing Options。Journal of Finance,54(4),1465-1499。 |
23. | Derman, E.、Kani, I.(1998)。Stochastic Implied Trees: Arbitrage Pricing with Stochastic term and Strike Structure of Volatility。International Journal of Theoretical and Applied Finance,1(1),61-110。 |
24. | Duffie, D.、Pan, J.、Singleton, K. J.(2000)。Transform Analysis and Asset Pricing for Affine Jump-Diffusions。Econometrica,68(6),1343-1376。 |
25. | Black, F.(1975)。The Fact and Fantasy in the Use of Options。Financial Analysts Journal,31(4),36-41+61-72。 |
26. | Bollen, N.、Whaley, R.(2004)。Does net Buying Pressure Affect the Shape of Implied Volatility Functions?。Journal of Finance,59(2),711-753。 |
27. | Epps, W.、Epps, M.(1976)。The stochastic dependence of security price changes and transaction volumes: Implications for the mixture of distribudistributions hypothesis。Econometrica,44(2),305-321。 |
28. | Bakshi, Gurdip、Cao, Charles、Chen, Zhiwu(1997)。Empirical Performance of Alternative Option Pricing Models。Journal of Finance,52(5),2003-2049。 |
29. | Das, S. R.、Sundaram, R. K.(1999)。Of Smiles and Smirks: A Term Structure Perspective。Journal of Financial and Quantitative Analysis,34(2),211-239。 |
30. | Gallant, A. Ronald、Rossi, Peter E.、Tauchen, George(1992)。Stock Price and Volume。Review of Financial Studies,5(2),199-242。 |
31. | Jorion, P.(1998)。On Jump Processes in the Foreign Exchange and Stock Markets。The Review of Financial Studies,1(4),427-445。 |
32. | Xu, X.、Taylor, S. J.(1994)。The Term Structure of Volatility Implied by Foreign Exchange Options。Journal of Financial and Quantitative Analysis,29(1),57-74。 |
33. | Lamoureux, Christopher G.、Lastrapes, William D.(1993)。Forecasting Stock-return Variance: Toward an Understanding of Stochastic Implied Volatilities。The Review of Financial Studies,6(2),293-326。 |
34. | Hull, John C.、White, A.(1987)。The Pricing of Options on Assets with Stochastic Volatilities。Journal of Finance,42(2),281-300。 |
35. | Shimko, D. C.(1993)。Bounds of Probability。Risk,6(4),33-37。 |
36. | MacBeth, J. D.、Merville, L. J.(1980)。Tests of the Black-Scholes and Cox Call Option Valuation Models。Journal of Finance,35(2),285-301。 |
37. | Lo, Andrew W.、Wang, Jiang(2000)。Trading volume: Definitions, data analysis, and implications of portfolio theory。Review of Financial Studies,13(2),257-300。 |
38. | Fleming, Jeff、Ostdiek, Barbara、Whaley, Robert E.(1995)。Predicting Stock Market Volatility: A New Measure。Journal of Futures Markets,15(3),265-302。 |
39. | Jackwerth, J.(2000)。Recovering Risk Aversion from Option Prices and Realized Returns。Review of Financial Studies,13(2),433-451。 |
40. | Jorion, P.(1995)。Predicting Volatility in the Foreign Exchange Market。Journal of Finance,50(2),507-528。 |
41. | MacBeth, J. D.、Merville, L. J.(1979)。An Empirical Examination of the Black-Scholes Call Option Pricing Model。Journal of Finance,34(5),1173-1186。 |
42. | Merton, Robert C.(1976)。Option Pricing When Underlying Stock Returns are Discontinuous。Journal of Financial Economics,3(1/2),125-144。 |
43. | Bakshi, G. S.、Kapadia, N.、Madan, D.(2003)。Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options。Review of Financial Studies,16(1),101-143。 |
44. | Heynen, Ronald、Kemna, Angelien、Vorst, Ton(1994)。Analysis of the Term Structure of Implied Volatilities。Journal of Financial and Quantitative Analysis,29(1),31-56。 |
45. | Derman, E.、Kani, I.(1994)。Riding on a Smile。Risk,7(2),18-20。 |
46. | Dupire, Bruno(1994)。Pricing with a Smile。Risk,7(1),18-20。 |
47. | Rubinstein, Mark(1994)。Implied binomial trees。Journal of Finance,49(3),771-818。 |
48. | Schwert, G. W.(1990)。Stock Market Volatility。Financial Analysts Journal,46(3),23-34。 |
49. | Karpoff, Jonathan M.(1987)。The Relation between Price Changes and Trading Volume: A Survey。Journal of Financial and Quantitative Analysis,22(1),109-126。 |
50. | Ying, C. C.(1966)。Stock market prices and volumes of sales。Econometrica: Journal of the Econometric Society,34(3),676-685。 |
51. | Day, Theodore E.、Lewis, Craig M.(1992)。Stock Market Volatility and the Information Content of Stock Index Options。Journal of Econometrics,52(1/2),267-287。 |
52. | Canina, Linda、Figlewski, Stephen(1993)。The informational Content of Implied Volatility。The Review of Financial Studies,6(3),659-681。 |
53. | Dumas, Bernard、Fleming, Jeff、Whaley, Robert E.(1998)。Implied Volatility Functions: Empirical Tests。Journal of Finance,53(6),2059-2106。 |
54. | Geske, Robert(1979)。The Valuation of Compound Options。The Journal of Financial Economics,7(1),63-81。 |
55. | Christie, A. A.(1982)。The Stochastic Behavior of Common Stock Variance: Value, Leverage and Interest Rate Effects。Journal of Financial Economics,10(4),407-432。 |
56. | Hiemstra, C.、Jones, J. D.(1994)。Testing for linear and nonlinear granger causality in the stock price-volume relation。The Journal of Finance,49(5),1639-1664。 |
57. | Blume, Lawrence、Easley, David、O'Hara, Maureen(1994)。Market Statistics and Technical Analysis: The Role of Volume。The Journal of Finance,49(1),153-181。 |
58. | Cox, John C.、Ross, Stephen A.(1976)。The Valuation of Options for Alternative Stochastic Processes。Journal of Financial Economics,3(1/2),145-166。 |
59. | 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。 |