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題名:考慮流動性風險的選擇權評價與保證金調整之研究
書刊名:證券市場發展季刊
作者:葉宗穎林丙輝葉仕國陳振宇
作者(外文):Yeh, Chung-yingLin, Bing-hueiYeh, Shih-kuoChen, Chen-yu
出版日期:2020
卷期:32:2=126
頁次:頁73-118
主題關鍵詞:流動性風險選擇權評價極值理論保證金Liquidity riskOption price evaluationExtreme theoryMargin
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:1
期刊論文
1.Amihud, Y.、Mendelson, H.(1991)。Liquidity, Maturity, and the Yields on U.S. Treasury Securities。Journal of Finance,46(4),1411-1425。  new window
2.Chen, R.-R.、Filonuk, W.、Patro, K.(2012)。Valuing Financial Assets with Liquidity Discount: An Implication to Basel III。Journal of Fixed Income,22(3),45-63。  new window
3.Ericsson, J.、Renault, O.(2006)。Liquidity and Credit Risk。Journal of Finance,61(5),2219-2250。  new window
4.Lin, H.、Wang, J.、Wu, C.(2011)。Liquidity risk and expected corporate bond returns。Journal of Financial Economics,99(3),628-650。  new window
5.Kumar, Alok、Lee, Charles M. C.(2006)。Retail Investor Sentiment and Return Comovements。Journal of Finance,61(5),2451-2486。  new window
6.Bakshi, G.、Cao, C.、Chen, Z.(1997)。Empirical Performance of Alternative Option Pricing Models。Journal of Finance,52(5),2003-2049。  new window
7.Geske, R.(1977)。The Valuation of Corporate Liabilities as Compound Options。Journal of Financial and Quantitative Analysis,12(4),541-552。  new window
8.Duffie, J. D.、Huang, C. F.(1985)。Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities。Econometrica,53(6),1337-1356。  new window
9.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
10.周建新、陳振宇、蔡雲香(20070900)。以極端值理論設計臺股指數選擇權結算保證金之研究。輔仁管理評論,14(3),67-89。new window  延伸查詢new window
11.張志揚、陳佩玗(20110900)。全球流動性與臺灣資產價格變動關係之探討。中央銀行季刊,33(3),5-34。new window  延伸查詢new window
12.劉榮芳、林益倍、吳念蓁(20111200)。市場流動性、董監事監督與股票報酬。財金論文叢刊,15,39-51。new window  延伸查詢new window
13.Chen, R.(2011)。Valuing Liquidity Discount。Journal of Fixed Income,21,59-73。  new window
14.Chen, R.、Li, B.(2015)。A Closed-Form Solution to the Liquidity Discount Problem: With an Application to the Liquidity Crisis。Journal of Fixed Income,25(2),7-24。  new window
15.Feng, S.、Hung, M.、Wang, Y.(2014)。Option pricing with stochastic liquidity risk: theory and evidence。Journal of Financial Market,18,77-95。  new window
16.Friewald, N.、Jankowitsch, R.、Subrahmanyam, M.(2012)。Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises。Journal of Financial Economics,105(1),18-36。  new window
17.Leippold, M.、Scharer, S.(2017)。Discrete-time option pricing with stochastic liquidity。Journal of Banking and Finance,75,1-16。  new window
18.Pastor, Lubos、Robert, F. S.(2013)。Liquidity Risk And Expected Stock Returns。Journal of Political Economy,111(3),642-685。  new window
19.Yeh, C. Y.、Yeh, S. K.、Chen, R. R.(2014)。Liquidity Discount in the Opaque Market: the Evidence from Taiwan's Emerging Stock Market。Pacific-Basin Finance Journal,29,297-309。  new window
20.Merton, Robert C.(1974)。On the pricing of corporate debt: The risk structure of interest rate。Journal of Finance,29(2),449-470。  new window
研究報告
1.Jarrow, R.、Protter, P.(2005)。Liquidity risk and option pricing。Cornell University。  new window
 
 
 
 
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