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題名:2008年金融海嘯對臺指選擇權波動性微笑曲線的影響及投資意涵
書刊名:臺灣銀行季刊
作者:許溪南吳怜儀
出版日期:2015
卷期:66:2
頁次:頁60-80
主題關鍵詞:金融海嘯隱含波動率微笑曲線投資操作意涵
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(1) 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:1
  • 共同引用共同引用:11
  • 點閱點閱:3
期刊論文
1.Derman, E.、Kani, I.(1998)。Stochastic Implied Trees: Arbitrage Pricing with Stochastic term and Strike Structure of Volatility。International Journal of Theoretical and Applied Finance,1(1),61-110。  new window
2.Shiu, Y. M.、Pan, G. G.、Lin, S. H.、Wu, T. C.(2010)。Impact of Net Buying Pressure on Changes in Implied Volatility: Before and After the Onset of the Subprime Crisis。Journal of Derivatives,17(4),54-66。  new window
3.Bollen, N.、Whaley, R.(2004)。Does net Buying Pressure Affect the Shape of Implied Volatility Functions?。Journal of Finance,59(2),711-753。  new window
4.Jackwerth, J.(2000)。Recovering Risk Aversion from Option Prices and Realized Returns。Review of Financial Studies,13(2),433-451。  new window
5.Bates, David S.(1991)。The Crash of '87: Was It Expected? The Evidence from Options Markets。Journal of Finance,46(3),1009-1044。  new window
6.Christensen, Bent J.、Prabhala, Nagpumanand R.(1998)。The Relation between Implied and Realized Volatility。Journal of Financial Economics,50(2),125-150。  new window
7.Schwert, G. William(1990)。Stock Volatility and the Crash of '87。Review of Financial Studies,3(1),77-102。  new window
8.Rubinstein, M.(1994)。Implied Binomial Trees。Journal of Finance,49,771-818。  new window
9.許溪南、吳依正、黃金生(20090100)。臺灣股價指數的股利估計及其對臺指期貨定價的影響。經濟研究. 臺北大學經濟學系,45(1),103-141。new window  延伸查詢new window
10.Bates, D. S.(2000)。Post-'87 crash fears in the S&P 500 futures options markets。Journal of Econometrics,94,181-238。  new window
11.Christensen, B. J.、Hansen, C. S.(2002)。New evidence on the implied-realized volatility relation。European Journal of Finance,8(2),187-205。  new window
12.Fleming, J.(1998)。The quality of market volatility forecast implied by S&P 100 index options prices。Journal of Empirical Finance,5,317-345。  new window
13.Mixon, S.(2007)。The implied volatility term structure of stock index options。Journal of Empirical Finance,14,333-354。  new window
14.Rubinstein, M.(1985)。Non-parametric tests of alternative option pricing models。Journal of Finance,40,455-480。  new window
15.Canina, Linda、Figlewski, Stephen(1993)。The informational Content of Implied Volatility。The Review of Financial Studies,6(3),659-681。  new window
16.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
17.許溪南(20130500)。On the Option Expected Return and Risk Characteristics。期貨與選擇權學刊,6(1),59-90。new window  延伸查詢new window
18.許溪南、王家美(2009)。2008全球金融海嘯之起因、影響與教訓。證券櫃檯月刊,144,87-98。  延伸查詢new window
研究報告
1.Bondarenko, O.(2003)。Why are put options so expensive?。Chicago:University of Illinois。  new window
2.Summa, J. F.(2002)。Sellers vs Buyers: Who Wins? A Study Of CME Options Expiration Patterns。  new window
圖書論文
1.Lee, R. W.(2005)。Implied volatility: Statics, dynamics, and probabilistic interpretation。Recent advances in applied probability。Berlin:Springer。  new window
 
 
 
 
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