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題名:臺股認購權證價格形成的實證分析
書刊名:臺灣銀行季刊
作者:詹錦宏 引用關係洪啟安 
出版日期:1999
卷期:50:2
頁次:頁56-84
主題關鍵詞:臺股認購權證價格
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:1
期刊論文
1.Whaley, Robert E.(1982)。Valuation of American Call Options on Dividend-Paying Stocks: Empirical Tests。Journal of Financial Economics,10(1),29-58。  new window
2.Black, F.(1975)。The Fact and Fantasy in the Use of Options。Financial Analysts Journal,31(4),36-41+61-72。  new window
3.Garman, Mark B.、Klass, Michael J.(1980)。On the Estimation of Security Price Volatility from Historical Data。Journal of Business,53(1),67-78。  new window
4.Galai, D.(1977)。Tests of Market Efficiency of the Chicago Board Option Exchange。The Journal of Business,50,167-197。  new window
5.Hauser, S.、Lauterbach, B.(1997)。The Relative Performance of Five Alternative Warrant Pricing Models。Journal of Financial Analysts,1997(Jan./Feb.),55-61。  new window
6.MacBeth, J. D.、Merville, L. J.(1979)。An Empirical Examination of the Black-Scholes Call Option Pricing Model。Journal of Finance,34(5),1173-1186。  new window
7.Roll, Richard(1977)。An Analytic Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends。Journal of Financial Economics,5(2),251-258。  new window
8.Whaley, Robert E.(1981)。On the valuation of American call options on stocks with known dividends。Journal of Financial Economics,9,207-212。  new window
9.Lauterbach, Beni、Schultz, Paul(1990)。Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives。Journal of Finance,45(4),1181-1209。  new window
10.Figlewski, Stephen(1989)。What does an Option Pricing Model Tell us about Option Prices?。Financial Analysts Journal,45(5),12-15。  new window
11.Swidler, Steve、Diltz, J. David(1992)。Implied Volatilities and Transaction Costs。Journal of Financial & Quantitative Analysis,27(3),437-447。  new window
12.Smith, Clifford W. Jr.(1976)。Option Pricing: A Review。Journal of Financial Economics,3,3-51。  new window
13.Black, Fischer(1989)。How We Came up with the Option Formula。The Journal of Portfolio Management,1989(Winter),4-80。  new window
14.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
15.Beckers, S.(1980)。The Constant Elasticity of Variance Model and Its Implication for Option Pricing。Journal of Finance,35,661-673。  new window
16.Beckers, S.(1981)。Standard Deviations in Option Prices as Predictors of Future Stock Price Variability。Journal of Banking and Finance,5,363-381。  new window
17.Black, F.、Scholes, M.(1972)。The Valuations of Option Contracts and a Test of Market Efficiency。Journal of Finance,27,399-417。  new window
18.Ferri, M.、Kremer, J.、Oberhelman, H.(1986)。An Analysis of Models for Pricing Corporate Warrants。Advances in Futures and Options Research,1A,201-226。  new window
19.Geske, R.、Roll, R.(1984)。On Valuing American Call Options with the Black-Scholes European Formula。Journal of Finance,39,443-455。  new window
20.Geske, R.、Roll, R.、Shastri, K.(1983)。Over-the Counter Option Market Dividend Protection and Biases in the Black and Scholes Model: A Note。Journal of Finance,38(4),271-1277。  new window
21.Long, M.、Officer, D.(1997)。The Relationship Between Option Mispricing and Volume in the Black-Scholes Options Model。Journal of Financial Research,20(1),1-12。  new window
22.MacBeth, J.、Merville, L.(1980)。Tests of the Black-Scholes and Cox Call Options Valuation Model。Journal of Finance,35(2),285-303。  new window
23.Noreen, E.、Wolfson, M.(1981)。Equilibrium Warrant Pricing Model and Accounting for Executive Stock Options。Journal of Accounting Research,1981(Autumn),384-398。  new window
24.Rubinstein, M.(1985)。Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978。Journal of Finance,40(2),455-480。  new window
25.Schmalensee, R.、Trippi, R.(1978)。Common Stock Volatility Exceptions Implied by Option Premia。Journal of Finance,33(1),129-147。  new window
26.Veld, C.、Verboven, A.(1995)。An Empirical Analysis of Warrant Prices versus Long-term Call Option Prices。Journal of Business Finance and Accounting,22(8),1125-1146。  new window
27.Merton, Robert C.(1976)。Option Pricing When Underlying Stock Returns Are Discontinuous。Journal of Financial Economics,3(1),125-144。  new window
28.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
29.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
30.Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business,53(1),61-65。  new window
圖書
1.Cootner, P. H.(1964)。The Random Character of Stock Market Prices。Cambridge, MA:M.I.T. Press。  new window
2.Cox, John C.、Rubinstein, Mark(1985)。Options Markets。Englewood Cliffs, New Jersey:Prentice-Hall。  new window
3.Stoll, Hans R.、Whaley, Robert E.(1993)。Futures and Options: Theory and Applications。Cincinnati, Ohio:South-Western Publishing Company。  new window
4.滑明曙(1997)。選擇權估價理論。台北:華泰書局。  延伸查詢new window
5.Dubofsky, D. A.(1992)。Options and Financial Futures: Valuation and Uses。McGraw-Hill, Inc.。  new window
6.Edwards, F. R.、Ma, Cindy W.(1992)。Futures and Options。NY:McGraw-Hill。  new window
7.Blank, Steven C.、Carter, Colin A.、Schmiesing, Brian H.(1991)。Futures and Options Markets: Trading in Commodities and Financials。Prentice-Hall。  new window
8.李存修(1993)。選擇權之交易實務、投資策略與評價模型。台北:財圑法人中華民國證券暨期貨市場發展基金會。  延伸查詢new window
9.陳松男(1996)。選擇權與期貨:衍生性商品理論與實務。台北:三民。  延伸查詢new window
10.Jarrow, R. A.、Turnbull, S. M.(1995)。Derivative Securities。South-Western。  new window
11.Hull, J.(1995)。Introduction to Futures and Options Markets。Prentice-Hall。  new window
12.Kolb, R.(1997)。Futures, Options, and Swaps。Blackwell。  new window
13.Mason, S.、Merton, R.、Perold, A.、Tufano, P.(1995)。Case in Financial Engineering: Applied Studies of Financial Innovation。Upper Saddle River, N.J.:Prentice-Hall。  new window
14.Ritchken, P.(1987)。Derivative Markets: Theory, Strategy and Applications。HarperCollins。  new window
15.Hull, John C.(1997)。Options, Futures, and Other Derivatives。Upper Saddle River, NJ:Prentice-Hall Inc.。  new window
圖書論文
1.Chicago Board Options Exchange(1995)。Chapter 1: History of Options。Options: Essential Concepts and Trading Strategies。IRWIN。  new window
 
 
 
 
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