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題名:General-Equilibrium Pricing of Stock Index Futures Allowing for Regular and Irregular Events Underlying the Stochastic Market Volatility
書刊名:財務金融學刊
作者:林修葳 引用關係王佳真 引用關係徐辜元宏
作者(外文):Lin, William Hsiou-weiWang, Jai-jenHsuku, Yuan-hung
出版日期:2014
卷期:22:1
頁次:頁1-32
主題關鍵詞:隨機波動性跳躍事件資訊到達的時間間隔跨期期貨定價一般均衡模型Stochastic volatilityJumpInformation timeIntertemporal futures pricingGeneral-equilibrium model
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:62
期刊論文
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4.Ahn, Chang M.、Chinhyung D. Cho、Keehwan Park(2007)。The pricing of foreign currency options under jump-diffusion processes。Journal of Futures Markets,27,669-695。  new window
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9.Giot, Pierre and Sebastien Laurent(2007)。The information content of implied volatility in light of the jump/continuous decomposition of realized volatility。Journal of Futures Markets,27,337-359。  new window
10.Guo, Jia(2007)。Pricing American options on foreign currency with stochastic volatility, jumps, and stochastic interest rates。Journal of Futures Markets,27,867-891。  new window
11.Le, Thanh(2008)。A dual economy model of endogenous growth with R&D and market structure。Journal of Evolutionary Economics,18,349-366。  new window
12.Lee, Chi(2008)。Trading on inside information when there maybe tippees。Review of Quantitative Finance and Accounting,31,241-260。  new window
13.Lindset, Snorre(2007)。Pricing American exchange options in a jump-diffusion model。Journal of Futures Markets,27,257-273。  new window
14.Melino, Angelo、Stuart M. Thornbull(1990)。Pricing foreign currency options with systematic stochastic volatility。Journal of Econometrics,45,239-265。  new window
15.Menegatti, Mario(2009)。Optimal saving in the presence of two risks。Journal of Economics,96,277-288。  new window
16.Schroder, Philipp J. H.、Allan Sorensen(2010)。Ad valorem versus unit taxes: monopolistic competition, heterogeneous firms, and intra-industry reallocations。Journal of Economics,101,247-265。  new window
17.Sequeira, Tiago N.、Elsa Martins(2008)。Education public financing and economic growth: An endogenous growth model versus evidence。Empirical Economics,35,361-377。  new window
18.Shiller, Robert J.(2002)。expert opinion。Financial Analysts Journal,58,18-26。  new window
19.Watt, Richard(2009)。does interest rate policy affect inflation? A simple general equilibrium model with the interest rate as the policy instrument。Review of Economic Design,13,345-360。  new window
20.Amin, K. I.、Ng, V. K.(1993)。Option Valuation with Systematic Stochastic Volatility。Journal of Finance,48,881-910。  new window
21.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。  new window
22.Naik, V.,、Lee, M. H.(1990)。General equilibrium pricing of options on the market portfolio with discontinuous returns。The Review of Financial Studies,3,493-522。  new window
23.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
24.Hilliard, Jimmy E.、Reis, Jorge(1998)。Valuation of commodity futures and options under stochastic convenience yields, interest rates, and jump diffusions in the spot。The Journal of Financial and Quantitative Analysis,33(1),61-86。  new window
25.Bakshi, Gurdip、Cao, Charles、Chen, Zhiwu(1997)。Empirical Performance of Alternative Option Pricing Models。Journal of Finance,52(5),2003-2049。  new window
26.Stein, E.、Stein, J.(1991)。Stock Price Distributions with Stochastic Volatility: An Analytic Approach。Review of Financial Studies,4(4),727-752。  new window
27.Hemler, M. L.、Longstaff, F. A.(1991)。General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence。Journal of Financial and Quantitative Analysis,26,287-308。  new window
28.Cox, J. C.、Ingersoll, J. E.、Ross, S. A.(1981)。The Relation between Forward Prices and Futures Prices。Journal of Financial Economics,9,321-346。  new window
29.Jorion, P.(1998)。On Jump Processes in the Foreign Exchange and Stock Markets。The Review of Financial Studies,1(4),427-445。  new window
30.Clark, Peter K.(1973)。A subordinated stochastic process model with finite variance for speculative prices。Econometrica,41(1),135-155。  new window
31.Hull, John C.、White, A.(1987)。The Pricing of Options on Assets with Stochastic Volatilities。Journal of Finance,42(2),281-300。  new window
32.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。An Intertemporal General Equilibrium Model of Asset Prices。Econometrica,53(2),363-384。  new window
33.Black, Fischer(1976)。The Pricing of Commodity Contracts。Journal of Financial Economics,3(1/2),167-179。  new window
34.Pan, Jun(2002)。The jump-risk premia implicit in options: Evidence from an integrated time-series study。Journal of Financial Economics,63,3-50。  new window
35.Bates, David S.(1991)。The Crash of '87: Was It Expected? The Evidence from Options Markets。Journal of Finance,46(3),1009-1044。  new window
36.Merton, Robert C.(1976)。Option Pricing When Underlying Stock Returns are Discontinuous。Journal of Financial Economics,3(1/2),125-144。  new window
37.Chen, N. F.、Cuny, C. J.、Haugen, R. A.(1995)。Stock volatility and the levels of the basis and open interest in futures contracts。The Journal of Finance,50(1),281-300。  new window
38.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
39.Cox, John C.、Ross, Stephen A.(1976)。The Valuation of Options for Alternative Stochastic Processes。Journal of Financial Economics,3(1/2),145-166。  new window
40.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
41.Chesney, M.、Scott, L.(1989)。Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model。Journal of Financial and Quantitative Analysis,24,267-284。  new window
42.Wiggins, J.(1987)。Option values under stochastic volatility: Theory and empirical estimates。Journal of Financial Economics,19,351-372。  new window
43.Bates, D.(2000)。Post-'87 Crash Fears in S&P 500 Futures Options。Journal of Econometrics,94,181-238。  new window
44.Richard, S. F.、Sundaresan, M.(1981)。A Continuous Time Equilibrium Model of Forward Prices and Futures Prices in a Multigood Economy。Journal of Financial Economics,9,347-371。  new window
45.Duffie, D.、Pan, J.、Singleton, K.(2000)。Transform Analysis and Asset Pricing for Affine Jump Diffusion。Econometrica,68,1343-1376。  new window
46.Eraker, B.、Johannes, M. S.、Polson, N. G.(2003)。The Impact of Jumps in Returns and Volatility。Journal of Finance,53,1269-1300。  new window
圖書
1.Duffie, Darrell。Dynamic asset pricing theory。New Jersey:Princeton University Press。  new window
2.Hicks, John R.(1946)。Value and capital。Oxford:Clarendon Press。  new window
3.Keynes, John M.(1936)。The General Theory of Employment, Interest, and Money。London, UK:A Harbinger Book:Palgrave Macmillan。  new window
 
 
 
 
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