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題名:數位選擇權避險參數之蒙地卡羅法估計
書刊名:建國科大社會人文期刊
作者:陳俊傑 引用關係張曉欽 引用關係楊晴雯
作者(外文):Chen, Chiun-chiehChang, Hsiao-chinYang, Cing-wun
出版日期:2016
卷期:35:1
頁次:頁1-20
主題關鍵詞:數位選擇權避險參數蒙地卡羅法Digital optionsHedge ratiosMonte Carlo method
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:1
  • 點閱點閱:2
期刊論文
1.Boyle, P. P.(1986)。Option valuation using a three jump process。International Options Journal,3,7-12。  new window
2.Grant, D.、Vora, G.、Weeks, D.(1996)。Simulation and the early-exercise option problem。Journal of Financial Engineering,5(3),211-227。  new window
3.Reiner, E.、Rubinstein, M.(1991)。Breaking Down the Barriers。Risk Magazine,4(8),28-35。  new window
4.Ritchken, P.(1995)。On Pricing Barrier Options。Journal of Derivatives,3(2),19-28。  new window
5.Boyle, P. P.(1977)。Options: A Monte Carlo Approach。Journal of Financial Economics,4,323-338。  new window
6.Tilley, J. A.(1993)。Valuing American Options in a Path Simulation Model。Transactions of the Society of Actuaries,45,83-104。  new window
7.Schwartz, Eduardo S.(1977)。The Valuation of Warrants: Implementing a New Approach。Journal of Financial Economics,4(1),79-93。  new window
8.Barraquand, J.、Martineau, D.(1995)。Numerical Valuation of High Dimensional Multivariate American Securities。Journal of Financial and Quantitative Analysis,30(3),383-405。  new window
9.張森林(20050300)。Monte Carlo Estimations of Greeks。臺灣金融財務季刊,6(1),1-10。new window  延伸查詢new window
10.Black, F.、Scholes, M.(1973)。The pricing of options and corporate liability。Journal of Political Economics,81,399-417。  new window
11.Cen, Z.、Le, A.、Xu, A.(2013)。An Alternating-Direction Implicit Difference Scheme for Pricing Asian Options。Journal of Applied Mathematics,1-8。  new window
12.Du, K.、Liu, G.、Gu, G.(2013)。A Class of Control Variates for Pricing Asian Options under Stochastic Volatility Models。International Journal of Applied Mathematics,43(2),1-9。  new window
13.Moon, K. S.、Kim, H.(2013)。An Improved Binomial Method for Pricing Asian Options。Commun. Korean Math. Soc,28(2),397-406。  new window
14.Peng, B.、Han, Y.(2004)。A Study on The Binary Option Model And Its Pricing。Allied Academies International Conference,9(1),71-77。  new window
15.Turnball, S. M.、Wakeman, L. M.(1991)。Quick Algorithm for Pricing European Average Rate Options。Journal of Financial and Quantitative Analysis,26,377-389。  new window
16.Zhang, B.、Oosterlee, C. W.(2013)。Efficient Pricing of European-Style Asian Options under Exponential Levy Processes Based on Fourier Cosine Expansions。SIAM J. Financial Math,4,399-426。  new window
17.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。  new window
18.Raymar, S.、Zwecher, M.(1997)。Monte Carlo Estimation of American Call Options on the Maximum of Several Stocks。The Journal of Derivatives,5(1),7-23。  new window
19.Reiner, E.、Rubinstein, M.(1991)。Unscrambling the Binary Code。Risk Magazine,4(9),75-83。  new window
學位論文
1.郭雅芸(2000)。多元數位選擇權--天天對獎(碩士論文)。國立政治大學。  延伸查詢new window
2.張冠良(2012)。以全球二元選擇權概況探討台灣發行之可能性(碩士論文)。國立交通大學。  延伸查詢new window
圖書
1.Hull, John C.(2014)。Options, Futures, and Other Derivstives。New Jersey:Prentice-Hall。  new window
2.陳威光(2010)。選擇權:理論、實務與風險管理。  延伸查詢new window
圖書論文
1.Heynen, R.、Kate, H.(1998)。Hedging With Trees。Brick by Brick。Risk Publication。  new window
 
 
 
 
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