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題名:臺灣投資組合保險之實證研究
書刊名:證券市場發展季刊
作者:俞明德 引用關係許芳賓
作者(外文):Yu, Min-tehHsu, Fun-bin
出版日期:1996
卷期:8:1=29
頁次:頁31-44
主題關鍵詞:投資組合保險選擇權複製資產動態調整Portfolio insuranceOption replicationDynamic asset allocation
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(2) 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:2
  • 共同引用共同引用:0
  • 點閱點閱:16
期刊論文
1.Clarke, Roger G.、Arnott, Robert D.(1987)。The Cost of Portfolio Insurance: Tradeoffs and Choices。Financial Analysts Journal,43(6),35-48。  new window
2.Amin, K. I.、Ng, V. K.(1993)。Option Valuation with Systematic Stochastic Volatility。Journal of Finance,48,881-910。  new window
3.Boyle, P. P.、Vorst, T.(1992)。Option replication in discrete time with transaction costs。Journal of Finance,47(1),271-293。  new window
4.Leland, H. E.(1985)。Option pricing and replication with transactions costs。The Journal of Finance,40(5),1283-1301。  new window
5.Rubinstein, Mark、Leland, Hayne E.(1981)。Replicating options with positions in stock and cash。Financial Analysts Journal,37(4),63-72。  new window
6.Zhu, Y. J.、Kavee, R. C.(1988)。Performance of portfolio Insurance Strategies。Journal of Portfolio Management,14(4),48-54。  new window
7.Black, Fischer、Jones, Robert C.(1987)。Simplifying portfolio insurance。Journal of Portfolio Management,14(1),48-51。  new window
8.Stoll, H. R.(1969)。The Relationship between Put and Call Option Prices。Journal of Finance,24(5),801-824。  new window
9.Rubinstein, Mark(1985)。Alternative Paths to Portfolio Insurance。Financial Analysts Journal,41(4),42-52。  new window
10.Asay, M.、Edelsburg, C.(1986)。Can a Dynamic Strategy Replicate the Returns of an Option?。Journal of Futures Markets,6,63-70。  new window
11.Edirising, C.、Naik, V.、Uppal, R.(1993)。Optimal Replication of Options with Transactions Costs and Trading Restrictions。Journal of Financial Quantitative Analysis,1993(Mar.),117-138。  new window
12.Black, F.、Scholes, M.(1973)。The Pricing of Options and Coporate Liabilities。Journal of Political Economy,637-654。  new window
研究報告
1.Toft, K. B.(1993)。Exact Formulas for Expected Hedging Error and Transactions Costs in Option Replication。UC Berkeley。  new window
 
 
 
 
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