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題名:不完全市場下之選擇定價
書刊名:中國財務學刊
作者:許溪南
作者(外文):Hsu, Hsinan
出版日期:1997
卷期:4:3
頁次:頁13-43
主題關鍵詞:不完全市場選擇權評價模式隱含波動性隱含成長率市場不完全度Imperfect marketsOption pricing modelImplied volatilityImplied growth rateDegree of market imperfection
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(6) 博士論文(1) 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:31
期刊論文
1.Phillips, S. M.、Smith, C. W.(1980)。Trading costs for listed options。Journal of Financial Economics,8,179-201。  new window
2.Figlewski, Stephen(1989)。Options Arbitrage in Imperfect Markets。Journal of Finance,44(5),1289-1311。  new window
3.Evnine, J.、Rudd, A.(1985)。Index Options: The early Evidence。The Journal of Finance,40,743-756。  new window
4.Smith, Clifford W. Jr.(1976)。Option Pricing: A Review。Journal of Financial Economics,3(1),3-51。  new window
5.Day, T. E.、Lewis, C. M.(1988)。The Behavior of the Volatility Implicit in the Prices of Stock Index Options。Journal of Financial Economics,22(1),103-122。  new window
6.Finnerty, J. E.(1978)。The CBOE and Market Efficiency。Journal of Financial and Quantitative Analysis,13(1),29-38。  new window
7.Edwards, F. R.(1988)。Studies of the 1987 Stock Market Crash: Review and Appraisal。Journal of Financial Service Research,1,231-251。  new window
8.Schmalensee, R.、Trippi, R. R.(1978)。Common Stock Volatility Expectation by Option Premia。The Journal of Finance,33(1),129-147。  new window
9.Shiller, R. J.(1981)。Do stock prices move too much to be justified by subsequent change in dividends?。American Economic Review,71(3),421-436。  new window
10.Boness, A. James(1964)。Elements of a Theory of Stock-Option Value。Journal of Political Economy,1964(Apr.),163-175。  new window
11.Bailey, Warren、Stulz, R. M.(1989)。The Pricing of Stock Index Option in a General Equilibrium Model。Journal of Financial and Quantitative Analysis,24(1),1-12。  new window
12.Cox, John C.、Ross, Stephen A.(1976)。The Valuation of Options for Alternative Stochastic Process。Journal of Financial Economics,3(1-2),145-166。  new window
13.Choi, Seungmook、Wohar, Mark E.(1994)。S&P 500 Index Option Prices and the Black-Scholes Option Pricing Model。Applied Financial Economics,26,249-263。  new window
14.Chang, S. K.、Shanker, L.(1987)。Option Pricing and the Arbitrage Pricing Theory。Journal of Financial Research,10,1-16。  new window
15.Bosch, J. C.、Chang, Jack S. K.(1991)。Option Valuation in Incomplete Market: A Discrete-Time, CAPM Approach。Journal of Business Finance and Accounting,18(4),553-565。  new window
16.Fuller, Russell J.(1977)。Factors Which Influence Listed Call Option Prices。Review of Business and Economics Research,13,21-34。  new window
17.French, Dan W.、Maberly, Edwin D.(1992)。Early Exercise of American Index Options。Journal of Financial Research,15(2),127-137。  new window
18.Figlewski, Stephen(1989)。What does an Option Pricing Model Tell us about Option Prices?。Financial Analysts Journal,45(5),12-15。  new window
19.Harvey, Campbell R.、Whaley, Robert E.(1992)。Dividends arid S&P 100 Index Option Valuation。Journal of Futures Markets,12(2),123-137。  new window
20.Galai, Dan(1978)。On the Boness and Black-Scholes Models for Valuation Call Options。Journal of Financial and Quantitative Analysis,1978(Mar.),15-25。  new window
21.Galai, Dan(1977)。Tests of Market Efficiency of the Chicago Board of Exchange。Journal of Business,1977(Apr.),167-197。  new window
22.Lee, Wayne Y.、Rao, Ramesh K. S.、Auchmuty, J. F. G.(1981)。Option Pricing in a Lognormal Securities Market with Discrete Trading。Journal of Financial Economics,9,75-101。  new window
23.Latane, Henry A.、Rendleman, Richard J., Jr.(1976)。Standard Deviations of Stock Price Ratios Implied in Option Prices。Journal of Finance,1976(May),369-382。  new window
24.Kutner, George W.(1988)。Black-Scholes Revisited: Some Important Details。The Financial Review,23,95-104。  new window
25.Koop, Dwight(1986)。Pricing Options: Variations on the Black-Scholes Model。Review of Research in Futures Markets,5(1),80-89。  new window
26.Nisbet, Mary(1992)。Put-Call Parity Theory and an Empirical Test of the Efficiency of the London Traded Options Market。Journal of Banking and Finance,16(2),381-403。  new window
27.McGuire, Dan C.、Kudla, Ronald J.(1991)。Option Prices as an Indicator of Stock Return Expectations。Journal of Business Finance and Accounting,18(3),421-429。  new window
28.Levy, Haim、Yoder, James A.(1989)。Applying the Black-Scholes Model after Large Market Shocks。Journal of Portfolio Management,1989(Fall),103-106。  new window
29.Rindell, Krister(1994)。Generalized Method of Moments Tests of the Black and Scholes Model。Applied Financial Economics,4,225-231。  new window
30.O'Brien, Thomas J.、Selby, Michael J. P.(1986)。Option Pricing Theory and Asset Expectations: A Review and Discission in Tribute to Jame Boness。Financial Review,1986(Nov.),399-418。  new window
31.Stoll, Hans R.(1969)。The Relationship Between Put and Call Option Pricing。Journal of Finance,1969(Dec.),802-824。  new window
32.Samuelson, P. A.(1965)。Rational Theory of Warrant Pricing。Industrial Management Review,6(2),13-32。  new window
33.Bhattacharya, Mihir(1980)。Empirical Properties of the Black-Scholes Formula Under Ideal Conditions。Journal of Finance and Quantitative Analysis,15(5),1081-1105。  new window
34.Howe, John S.(1986)。Evidence on Stock Market Overreaction。Financial Analysts Journal,42(4),74-77。  new window
35.Chiras, Donald P.、Manaster, Steven(1978)。The Information Content of Option Prices and a Test of Market Efficiency。Journal of Financial Economics,6(2/3),213-234。  new window
36.Lakonishok, J.、Smidt, S.(1988)。Are Seasonal Anomalies Real? A Ninety-Year Perspective。Review of Financial Studies,1(4),403-425。  new window
37.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
38.Stein, Jeremy(1989)。Overreactions in the Options Market。Journal of Finance,44(4),1011-1023。  new window
39.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
40.De Bondt, Werner F. M.、Thaler, Richard H.(1987)。Further Evidence on Investor Overreaction and Stock Market Seasonality。The Journal of Finance,42(3),557-581。  new window
41.De Bondt, Werner F. M.、Thaler, Richard H.(1985)。Does the Stock Market Overreact?。The Journal of Finance,40(3),793-805。  new window
圖書
1.Richken, Peter(1987)。Options: Theory, Strategy, and Applications。London:Scott, Foresman and Company。  new window
2.Hull, John C.(1993)。Options, Futures, and Other Derivative Securities。Prentice-Hall International Editions。  new window
3.McKean, H. P.(1969)。Stochastic Integrals。N.Y.:Academic Press。  new window
圖書論文
1.Barone-Adesi, Giovanni、Morck, Randall(1991)。A Test of Rational Expectations in the Index Options Market。Advances in Future and Option Research。  new window
2.Sprenkle, C. M., Jr.(1974)。Warrant Prices as Indicators of Expectations and Performance。The Random Character of Stock Market Price。MIT Press。  new window
 
 
 
 
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