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題名:中國分級基金之評價與風險分析
書刊名:期貨與選擇權學刊
作者:李存修 引用關係劉思采黃思綺
作者(外文):Lee, Tsun-siouLiu, Ssu-tsaiHuang, Szu-chi
出版日期:2014
卷期:7:1
頁次:頁73-97
主題關鍵詞:分級基金固定收益級基金槓桿收益級基金二項式選擇權Classified fundsFixed income trancheLeveraged income trancheBinomial option
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(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:15
  • 點閱點閱:14
期刊論文
1.Reisz, A. S.、Perlich, C.(2007)。A market-based framework for bankruptcy prediction。Journal of Financial Stability,3(2),85-131。  new window
2.周恆志(20090600)。障礙選擇權違約風險模型之績效與應用。管理學報,26(3),275-289。new window  延伸查詢new window
3.蘭利兵(2010)。關於期權分解的分級基金定價研究。中國證券期貨,3,26-27。  延伸查詢new window
4.Duan, J. C.(2000)。Correlation: Maximum Likelihood Estimation Using Price Data of the Derivate Contract。Mathematical Finance,10(4),461-462。  new window
5.Ericsson, J.、Reneby, J.(2004)。Estimating Structural Bond Pricing Models。Journal of Business,78,707-736。  new window
6.Ingersoll, J. E.(1977)。A Contingent-Claims Valuation of Convertible Securities。Journal of Financial Economics,4,269-321。  new window
7.Kealhofer, S.(2003)。Quantifying Credit Risk I: Default Prediction。Financial Analysts Journal,59(1),30-44。  new window
8.Rich, D. R.(1994)。The Mathematical Foundations of Barrier Option-Pricing Theory。Advances in Futures and Options Research,7,267-311。  new window
9.李存修、林岳賢(19990800)。重設選擇權之評價與避險操作。中國財務學刊,7(2),113-150。new window  延伸查詢new window
10.Chou, H. C.、Wang, D.(2007)。Performance of Default Risk with Barrier Option Framework and Maximum Likelihood Estimation: Evidence from Taiwan。Physica A,358,270-280。  new window
11.Tudela, M.、Young, G.(2003)。Predicting Default Among UK Companies。Financial Stability Review,13,104-114。  new window
12.Wang, H. Y.、Choi, T. W.(2009)。Estimating Default Barriers from Market Information。Quantitative Finance,9(2),187-196。  new window
13.Boyle, P. P.、Lau, S. H.(1996)。Bumping Up Against the Barrier with the Binomial Method。Journal of Derivatives,1(4),6-14。  new window
14.Bharath, S. T.、Shumway, T.(2008)。Forecasting Default with the Merton Distance to Default Model。Review of Financial Studies,21(3),1339-1369。  new window
15.Brockman, P.、Turtle, H. J.(2003)。A Barrier Option Framework for Corporate Security Valuation。Journal of Financial Economics,67(3),511-529。  new window
16.Duan, J. C.、Moreau, A. F.、Sealey, C. W.(1995)。Deposit Insurance and Bank Interest Rate Risk: Pricing and Regulatory Implication。Journal of Banking & Finance,19,1091-1108。  new window
17.Duan, Jin Chuan、俞明德(1994)。Assessing the cost of Taiwan's deposit insurance。Pacific-Basin Finance Journal,2(1),73-90。  new window
18.Ronn, Ehud I.、Verma, Avinash K.(1986)。Pricing Risk-adjusted Deposit Insurance: An Option-based Model。Journal of Finance,41(4),871-895。  new window
19.Ritchken, P.(1995)。On Pricing Barrier Options。Journal of Derivatives,3(2),19-28。  new window
20.Boyle, Phelim P.(1977)。Options: A Monte Carlo Approach。Journal of Financial Economics,4(3),323-338。  new window
21.Liao, S. L.、Wang, C. W.(2003)。The Valuation of Reset Options with Multiple Strike Resets and Reset Dates。The Journal of Futures Markets,23(1),87-107。  new window
22.Cheuk, T.、Vorst, T.(1996)。Complex Barrier Options。Journal of Derivatives,4(1),8-12。  new window
23.Geske, R.(1977)。The Valuation of Corporate Liabilities as Compound Options。Journal of Financial and Quantitative Analysis,12(4),541-552。  new window
24.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
25.Merton, Robert C.(1974)。On the Pricing of Corporate Debt: The Risk Structure of Interest Rates。The Journal of Finance,29(2),449-470。  new window
26.Geske, Robert(1979)。The Valuation of Compound Options。The Journal of Financial Economics,7(1),63-81。  new window
27.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
28.Altman, Edward I.(1968)。Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy。The Journal of Finance,23(4),589-609。  new window
29.Leland, Hayne E.、Toft, Klaus Bjerre(1996)。Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads。Journal of Finance,51(3),987-1019。  new window
30.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。  new window
研究報告
1.Rubinstein, M.、Reiner, E.(1993)。Exotic options。University of California, Berkeley。  new window
學位論文
1.詹傑仲(2006)。國家金融安定基金的價值及其對市場的影響:界限選擇權的應用(博士論文)。國立中山大學。new window  延伸查詢new window
2.藍新仁(2010)。共同基金創新之研究--分級基金(碩士論文)。國立臺灣大學管理學院。  延伸查詢new window
圖書
1.Stoll, Hans R.、Whaley, Robert E.(1993)。Futures and Options: Theory and Applications。Cincinnati, Ohio:South-Western Publishing Company。  new window
 
 
 
 
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