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題名:A Constant Elasticity of Variance (CEV) Family of Stock Price Distributions in Option Pricing: Review and Integration
書刊名:中國財務學刊
作者:陳仁遶李正福
出版日期:1993
卷期:1:1
頁次:頁29-51
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(3) 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:3
  • 共同引用共同引用:0
  • 點閱點閱:47
期刊論文
1.Ang, J.、Peterson, D.(1984)。Empirical Properties of the Elasticity Coefficient in the Constant Elasticity of Variance Model。Financial Review,19(4),372-380。  new window
2.Beckers, S.(1980)。The Constant Elasticity of Variance Model and Its Implications for Option Pricing。Journal of Finance,35,661-673。  new window
3.Choi, J.、Longstaff, F.(1985)。Pricing Options on Agricultural Futures: an Application of the Constant Elasticity of Variance Option Pricing Model。Journal of Futures Markets,5(2),247-258。  new window
4.Cox, J.、Ross, S.(1976)。The Valuation of Options for Alternative Stochastic Processes。Journal of Financial Economics,3(1/2),145-166。  new window
5.Cox, J.、Ross, S.、Rubinstein, M.(1979)。Option Pricing: A Simplied Approach。Journal of Financial Economics,7,229-263。  new window
6.Dothan, L.(1978)。On the Term Structure of Interest Rates。Journal of Financial Economics,6(1),59-69。  new window
7.Emanuel, D.、MacBeth, J.(1982)。Further Results on the Constant Elasticity of Variance Call Option Pricing Formula。Journal of Financial and Quantitative Analysis,17,533-554。  new window
8.Feller, W.(1951)。Two Singular Diffusion Problems。Annals of Mathematics,54(1)。  new window
9.Harrison J.、Kreps, D.(1979)。Martingales and Arbitrage in Multi-Period Securities Markets。Journal of Economic Theory,20(3),381-408。  new window
10.Lauterbach, B.、Schultz, P.(1990)。Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives。Journal of Finance,45,1081-1120。  new window
11.MacBeth, J.、Merville, L.(1979)。An Empirical Examination of the Black-Scholes Call Option Pricing Model。Journal of Finance,34,1173-1186。  new window
12.MacBeth, J.、Merville, L.(1980)。Tests of the Black-Scholes and Cox Call Option Valuation Models。Journal of Finance,35,285-301。  new window
13.Sankaran, M.(1963)。Approximations to the Non-Central Chi-Square Distribution。Biometrica,50,199-204。  new window
14.Schaefer, S.、Schwartz, E.(1984)。A Two-Factor Model of the Term Structure: An Approximate Analytical Solution。Journal of Financial and Quantitative Analysis,19(4),413-424。  new window
15.Schroder, M.(1989)。Computing the Constant Elasticity of Variance Option Pricing Formula。Journal of Finance,44,211-220。  new window
16.Tucker, A.、Peterson, D.、Scott, E.(1988)。Tests of the Black-Scholes and Constant Elasticity of Variance Currency Call Option Valuation Models。Journal of Financial Research,11(3),201-214。  new window
17.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
18.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。A Theory of the Term Structure of Interest Rates。Econometrica,53(2),385-407。  new window
19.Fama, Eugene F.(1965)。The Behavior of Stock-Market Prices。Journal of Business,38(1),34-105。  new window
20.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
21.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。  new window
研究報告
1.Jacklin, C.、Gibbons, M.(1989)。Constant Elasticity of Variance Diffusion Estimation。Stanford University。  new window
圖書
1.Bachelier, L.(1964)。Random Characters of Stock Market Prices。Cambridge:MIT。  new window
2.Abramowitz, M.、Stegun, I.(1970)。Handbook of Mathematical Functions。Washington D. C.:National Bureau of Standards。  new window
3.Breiman, L.(1986)。Probability and Stochastic Processes。The Scientific Press。  new window
4.Fama, E.(1976)。Foundation of Finance。Basic Books Inc. Publishers。  new window
5.Johnson, N.、Kotz, S.(1970)。Distributions in Statistics: Continuous Univariate Distributions-2。Boston:Houghton Mifflin Company。  new window
6.Karlin, S.、Tayler, H.(1981)。A Second Cource in Stochastic Processes。Academic Press。  new window
單篇論文
1.Cox, John(1975)。Notes on Option Pricing I: Constant Elasticity of Diffusions,Stanford University。  new window
 
 
 
 
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