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題名：從Black-Scholes模型分析論數理財務模型之發展
書刊名：亞太經濟管理評論
作者：廖四郎 引用關係
出版日期：1998
卷期：2:1
頁次：頁97-123
主題關鍵詞：Black-Scholes模型；數理財務模型；B&S
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(2) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:38
期刊論文
1.Merton, R. C.(1977)。On the Pricing of Contingent Claims and the Modigliani-Miller Theorem。Journal of Financial Economics，5(2)，241-250。  new window
2.Rubinstein, M.(1976)。The Valuation of Uncertain Income Streams and the Pricing of Options。Bell Journal of Economics，7(2)，407-425。  new window
3.Amin, K. I.、Ng, V. K.(1993)。Option Valuation with Systematic Stochastic Volatility。Journal of Finance，48，881-910。  new window
4.Johnson, Herb、Stulz, Rene(1987)。The Pricing of Options with Default Risk。Journal of Finance，42(2)，267-280。  new window
5.Jeanblanc-Picque, Monique、Pontier, Monique(1990)。Optimal portfolio for a small investor in a market model with discontinuous prices。Applied Mathematics and Optimization，22，287-310。  new window
6.Hull, J.、White, A.(1987)。The Pricing of Options on Assets with Stochastic Volatility。Journal of Finance，42(2)，281-300。  new window
7.Harrison, J. M.、Kreps, D. M.(1979)。Martingales and Arbitrage in Multiperiod Securities Markets。Journal of Economic Theory，20(3)，381-408。  new window
8.Johnson, H.、Shanno, D.(1987)。Option Pricing When the Variance Is Changing。Journal of Financial and Quantitative Analysis，22(2)，143-151。  new window
9.Constantinides, G. M.、Ingersoll, J. E.(1984)。Optimal bond trading with personal taxes。Journal of Financial Economics，13，299-335。  new window
10.Solnik, B. H.(1974)。An Equilibrium Model of International Capital Market。Journal of Economic Theory，8，500-524。  new window
11.Geman, H.、Yor, M.(1993)。Bessel Processes, Asian Options and Perpetuities。Mathematical Finance，3，349-375。  new window
12.Wiggins, J. B.(1987)。Option Values Under Stochastic Volatility Theory and Empirical Estimates。Journal of Financial Economics，19(2)，351-372。  new window
13.Leland, H. E.(1985)。Option Pricing and Replication with Transaction Costs。Journal of Finance，40，1283-1301。  new window
14.Bensaid, B.、Lesne, J. P.、Pages, H.、Scheinkman, J.(1992)。Derivative Asset Pricing with Transaction Costs。Mathematical Finance，63-86。  new window
15.Ball, C.、Roma, A.(1994)。Stochastic Volatility Option Pricing。Journal of Finance and Quantitative Analysis，589-607。  new window
16.Aase, K. K.(1988)。Contingent Claim Valuation When the Security Price is a Combination of an Ito Process and Random Point Process。Stochastic Processes and their Applications，28(2)，185-220。  new window
17.Constantinides, G.、Scholes, M.(1980)。Optimal Liquidation of Assets Pricing。Journal of Finance，439-443。  new window
18.Chateauneuf, A.、Kast, R.、Lapied, A.(1996)。Choqet Pricing for Financial Markets with Frictions。Mathematical Finance，323-330。  new window
19.Fisher, L.、Lorie, J.(1964)。Rates of Return on Investment in Common Stocks。Journal of Business，37，1-24。  new window
20.Fama, E.(1965)。The Behavior of Stock Prices。Journal of Business，38，34-105。  new window
21.Duffie, D.、Harrison, M.(1993)。Arbitrage Pricing of Russian Options and Perpetual Lookback Options。Annuals of Applied Probability，641-651。  new window
22.Heston, S. L.(1993)。A Closed-Form Solution for Options with Stochastic Volatility with Applications to Board and Bond and Currency Options。The Review of Financial Studies，6(2)，327-343。  new window
23.Heath. D.、Jarrow, R. A.、Morton, A.(1992)。Bond Pricing and the Term Structure of Interest Rate: A New Methodology for Contingent Claims Valuation。Econometrica，77-106。  new window
24.Geske, R.(1978)。The Pricing of Options with Stochastic Dividend Yield。Journal of Finance，617-625。  new window
25.Hofmann, N.、Platen, E.、Schweizer, M.(1992)。Options Pricing Under Incompleteness and Stochastic Volatility。Mathematical Finance，153-187。  new window
26.Ho, T.、Lee, Sang-Bin(1986)。Term Structure Movements and Pricing of Interest Rate Contingent Claims。Journal of Finance，1011-1029。  new window
27.Jarrow, R. A.(1994)。Derivatives Security Markets, Markets Manipulation, and Options Pricing Theory。Journal of Financial and Quantitative Analysis，241-261。  new window
28.Hull, J.、White, A.(1995)。The Impact of Default Risk on Options and Other Derivatives Securities。Journal of Banking and Finance，299-322。  new window
29.Kim, J.、Ramaswamy, K.、Sundaresan, S.(1993)。Does Default Risks in Coupons Affect the Valuation of Corporate Bonds? A Contingent Claims Model。Financial Management，117-131。  new window
30.Jones, E. P.(1984)。Options Arbitrage and Strategy with Large Price Changes。Journal of Financial Economics，91-113。  new window
31.Kind, P.、Liptser, R. S.、Runggaldier, W. J.(1991)。Diffusion Approximation in Past Dependent Models and Applications to Option Pricing。Annuals Applied Probability，379-405。  new window
32.Merton, R. C.(1973)。Option Pricing of Underlying Stock Returns Are Discontinuous。Journal of Financial Economics，125-144。  new window
33.Mercurio, F.、Runggaldier, W. J.(1993)。Option Pricing for Jump Diffusions: Approximations and Their Interpretation。Mathematical Finance，191-200。  new window
34.Sandmann, K.(1993)。The Pricing of Options with an Uncertain Interest Rate: A Discrete- Time Approach。Mathematical Finance，201-216。  new window
35.Samuelson, P. A.(1965)。Proof that Properly Anticipated Price Fluctuate Randomly。Industrial Management Review，6，41-49。  new window
36.Scott, I. O.(1996)。Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Application for Fourier Inversion Methods。Mathematical Finance。  new window
37.Scott, I. O.(1987)。Options Pricing When the Variance Changes Randomly: Theory, Estimation, and an Application。Journal of Financial and Quantitative Analysis，419-438。  new window
38.Scholes, M.(1976)。Taxes and the Pricing of Options。Journal of Finance，319-332。  new window
39.Shepp, L.、Shiryaev, A. N.(1993)。The Russian Option: Reduced Regret。Annual of Applied Probability，631-640。  new window
40.Shefrin, H.、Statman, M.(1994)。Behavior Capital Asset Pricing Theory。Journal of Financial and Qualitative Analysis，323-349。  new window
41.Jensen, Michael C.(1968)。The performance of mutual fund in the period 1945-1964。Journal of Finance，23，389-416。  new window
42.Duan, J.-C.(1995)。The GARCH Option Pricing Model。Mathematical Finance，5(1)，13-32。  new window
43.Jarrow, Robert A.、Turnbull, Stuart M.(1995)。Pricing Derivatives on Financial Securities Subject to Credit Risk。Journal of Finance，50(1)，53-85。  new window
44.Merton, Robert C.(1976)。Option Pricing When Underlying Stock Returns Are Discontinuous。Journal of Financial Economics，3(1)，125-144。  new window
45.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science，4(1)，141-183。  new window
46.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy，81(3)，637-654。  new window
47.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance，7(1)，77-91。  new window
48.Lintner, John(1965)。The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets。Review of Economics and Statistics，47(1)，13-37。  new window
49.Ross, Stephen A.(1976)。The Arbitrage Theory of Capital Asset Pricing。Journal of Economic Theory，13(3)，341-360。  new window
50.Sharpe, William F.(1964)。Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk。The Journal of Finance，19(3)，425-442。  new window
51.Cox, John C.、Ross, Stephen A.(1976)。The Valuation of Options for Alternative Stochastic Processes。Journal of Financial Economics，3(1/2)，145-166。  new window
52.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics，7(3)，229-263。  new window
53.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
54.Viswanathan, R.、Conze, A.(1991)。Path Dependent Options: The Case of Lookback Options。The Journal of Finance，46(5)，1893-1907。  new window
55.Litterman, R.、Iben, T.(1991)。Corporate Bond Valuation and the Term Structure of Credit Spreads。Financial Analysts Journal，17(3)，52-64。  new window
研究報告
1.Carr, P.、Ellis, K.(1994)。Non-Standard Valuation of Barrier Options。Johnson Graduate School of Management, Cornell University。  new window
2.Boyle, P. P.、Vorst, T.(1990)。Option Pricing in Discrete Time with Transaction Costs。Econometric Institute, Erasmus University Rotterdam。  new window
3.Sandmann, K.、Sondermann, D.(1991)。A Term Structure Model and the Pricing of Interest Rate Derivatives。University of Bonn。  new window
圖書
1.Dothan, M. U.(1990)。Prices in Financial Markets。New York, NY：Oxford Univ. Press。  new window
2.Duffie, D.(1996)。Dynamic Asset Pricing Theory。Princeton, NJ：Princeton Univ. Press。  new window
3.Ingersoll, J. E.(1987)。Theory of Financial Decision Making。Totawa, NJ：Savage, MD：Rowman & Littlefield：Rowman & Littlefield。  new window
4.Markowitz, H.(1959)。Portfolio Selection: Effective Diversification of Investment。New York, NY：Wiley Inc。  new window
5.Oliveira, Rogerio de Deus(1994)。Arbitrage Pricing of Integral Options。Rio de Janeiro IMPA。  new window
6.Merton, R. C.(1992)。Continuous-Time Finance。Oxford：Basil-Blackwell。  new window
7.Rogers, C.、Shi, Z.(1994)。The Value of an Asian Option。Queen Mary and Westfield College, Department of Mathematics, University of London。  new window
8.Shirakawa, H.(1990)。Security Market Model with Poisson and Diffusion Type Return Process。Institute of social Sciences, Tokyo Institute of Technology。  new window
單篇論文
1.Hodges, S.，Neuberger, A.(1989)。Optimal Replication of Claims Under Transactions Costs，Financial Options Research Centre, University of Warwick。  new window
圖書論文
1.Follmer, H.、Schweizer, M.(1991)。Hedging of Contingent Claims under Incomplete Information。Applied Stochastic Analysis。New York, NY：Gordon and Breach。  new window
2.Howison, S. D.(1995)。Applied Mathematics and Finance。Mathematical Models in Finance。London：Chapman & Hall。  new window
3.Merton, R. C.(1995)。Influence of Mathematical Models in Finance on Practice: Past, Present and Future。Mathematical Models in Finance。London：Chapman & Hall。  new window
 
 
 
 
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