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題名:A Price-based Delta-hedging Strategy
書刊名:期貨與選擇權學刊
作者:王文楷陳立文余歆儀 引用關係
作者(外文):Wang, Wen-kaiChen, Li-wenYu, Hsin-yi
出版日期:2020
卷期:13:2
頁次:頁51-86
主題關鍵詞:選擇權避險Delta避險價格區間Black-Scholes模型Option hedgingDelta-hedgingPrice bandBlack-Scholes model
原始連結:連回原系統網址new window
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  • 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:0
  • 點閱點閱:8
期刊論文
1.Leland, H. E.(1985)。Option pricing and replication with transactions costs。The Journal of Finance,40(5),1283-1301。  new window
2.Derman, E.、Kani, I.、Zou, J. Z.(1996)。The local volatility surface: Unlocking the information in index option prices。Financial Analysts Journal,52,25-36。  new window
3.Boyle, P. P.、Emanuel, D.(1980)。Discretely Adjusted Option Hedges。Journal of Financial Economics,8,259-282。  new window
4.Alexander, C.、Rubinov, A.、Kalepky, M.、Leontsinis, S.(2012)。Regime-Dependent Smile-Adjusted Delta Hedging。Journal of Futures Markets,32(3),203-229。  new window
5.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
6.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
7.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。  new window
8.French, Kenneth R.、Schwert, G. William、Stambaugh, Robert F.(1987)。Expected stock returns and volatility。Journal of Financial Economics,19(1),3-29。  new window
9.Zheng, Y.、Brabazon, A.、O'Sullivan, C.、Hamill, P. A.(2019)。A Genetic Programming Approach for Delta Hedging。Genetic Programming and Evolvable Machines,20,67-92。  new window
10.Alexander, C.、Nogueira, L. M.(2007)。Model-Free Hedge Ratios and Scale-Invariant Models。Journal of Banking & Finance,31,1839-1861。  new window
11.Alexander, C.、Kaeck, A.、Nogueira, L. M.(2009)。Model Risk Adjusted Hedge Ratios。Journal of Futures Markets,29,1021-1049。  new window
12.Clewlow, L.、Hodges, S.(1997)。Optimal Delta-Hedging under Transactions Costs。Journal of Economic Dynamics and Control,21,1353-1376。  new window
13.Coleman, T. F.、Kim, Y.、Li, Y.、Verma, A.(2001)。Dynamic Hedging with a Deterministic Local Volatility Function Model。Journal of Risk,4,63-89。  new window
14.Crépey, S.(2004)。Delta-Hedging Vega Risk?。Quantitative Finance,4,559-579。  new window
15.De Giovanni, Domenico、Ortobelli, Sergio、Rachev, Svetlozar(2008)。Delta Hedging Strategies Comparison。European Journal of Operational Research,185,1615-1631。  new window
16.Hodges, S. D.、Neuberger, A.(1989)。Optimal Replication of Contingent Claims under Transactions Costs。The Review of Futures Markets,8,222-239。  new window
17.Hull, J. C.、White, A.(2017)。Optimal Delta Hedging for Options。Journal of Banking & Finance,82,180-190。  new window
18.Moon, Kyoung-Sook(2008)。Efficient Monte Carlo Algorithm for Pricing Barrier Options。Communications of the Korean Mathematical Society,23,285-294。  new window
19.Nian, K.、Coleman, T. F.、Li, Y.(2018)。Learning minimum variance discrete hedging directly from the market。Quantitative Finance,18,1115-1128。  new window
20.Sepp, A.(2013)。When You Hedge Discretely: Optimization of Sharpe Ratio for Delta-Hedging Strategy under Discrete Hedging and Transaction Costs。The Journal of Investment Strategies,3,19-59。  new window
21.Vähämaa, S.(2004)。Delta Hedging with the Smile。Financial Markets and Portfolio Management,18,241-255。  new window
22.Campbell, John Y.、Hentschel, Ludger(1992)。No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns。Journal of Financial Economics,31(3),281-318。  new window
23.Pindyck, Robert S.(1984)。Risk, Inflation, And The Stock Market。American Economic Review,74,334-351。  new window
會議論文
1.Black, F.(1976)。Studies of Stock Price Volatility Changes。The 1976 Meeting of the Business and Economic Statistics Section。American Statistical Association。177-181。  new window
研究報告
1.Cox, J. C.(1975)。Notes on option pricing I: Constant elasticity of variance diffusions。Stanford University。  new window
圖書
1.Karatzas, Ioannis、Shreve, Steven E.(1991)。Brownian Motion and Stochastic Calculus。Springer-Varlag。  new window
 
 
 
 
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