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題名:臺指選擇權隱含波動率之探討
書刊名:商管科技季刊
作者:王銘杰吳伶儀
作者(外文):Wang, Ming-chiehWu, Ling-yi
出版日期:2016
卷期:17:1
頁次:頁113-140
主題關鍵詞:隱含波動率波動率微笑曲線隱含波動率模型Implied volatilityVolatility smileImplied volatility model
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:17
  • 點閱點閱:19
期刊論文
1.許美滿、鍾惠民(20090500)。Forecasting Performance of Model-free Implied Volatility for the Taiwan Option Market。期貨與選擇權學刊,2(1),33-68。new window  延伸查詢new window
2.Rubinstein, M.(1985)。Nonparametric tests of alternative option pricing models using all reported trades and quotes on the 30 most active CBOE options classes from August 23, 1976 through August 31, 1978。Journal of Finance,40,455-480。  new window
3.Fung, Joseph K. W.(2007)。The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash。Journal of Futures Markets,27,555-574。  new window
4.Schwert, G. W.(1990)。Stock market volatility and the crash of ’87。Review of Financial Studies,3,77-102。  new window
5.Vagnani, G.(2009)。The Black-Scholes model as a determinant of the implied volatility smile: A simulation study。Journal of Economic Behavior and Organization,72(1),103-118。  new window
6.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
7.Christensen, Bent J.、Prabhala, Nagpumanand R.(1998)。The Relation between Implied and Realized Volatility。Journal of Financial Economics,50(2),125-150。  new window
8.Engström, M.(2002)。Do Swedes Smile? On Implied Volatility Functions。Journal of Multinational Financial Management,12(4/5),285-304。  new window
9.Fleming, Jeff(1998)。The Quality of Market Volatility Forecasts Implied by S&P 100 Index Option Prices。Journal of Empirical Finance,5(4),317-345。  new window
10.Jorion, P.(1995)。Predicting Volatility in the Foreign Exchange Market。Journal of Finance,50(2),507-528。  new window
11.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
12.Pena, I.、Rubio, G.、Serna, G.(1999)。“Why Do We Smile? On the Determinants of the Implied Volatility Function,”。Journal of Banking and Finance,23,1151–1179。  new window
13.Rosenberg, J. V.(2000)。Implied Volatility Functions A Reprise。The Journal of Derivatives,7,51-64。  new window
14.Rubinstein, Mark(1994)。Implied binomial trees。Journal of Finance,49(3),771-818。  new window
15.莊益源、張鐘霖、王祝三(20030600)。波動率模型預測能力的比較--以臺指選擇權為例。臺灣金融財務季刊,4(2),41-63。new window  延伸查詢new window
16.Canina, Linda、Figlewski, Stephen(1993)。The informational Content of Implied Volatility。The Review of Financial Studies,6(3),659-681。  new window
17.Dumas, Bernard、Fleming, Jeff、Whaley, Robert E.(1998)。Implied Volatility Functions: Empirical Tests。Journal of Finance,53(6),2059-2106。  new window
18.Heston, Steven L.、Nandi, Salkat(2000)。A Closed-Form GARCH Option Valuation Model。The Review of Financial Studies,13(3),585-625。  new window
19.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
20.郭維裕、陳威光、陳鴻隆、林信助(20091100)。動態隱含波動度模型:以臺指選擇權為例。期貨與選擇權學刊,2(2),47-89。new window  延伸查詢new window
21.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。  new window
研究報告
1.Corrado, C. J.、Miller. T. W.(2003)。The Forecast Quality of CBOE Implied Volatility Indexes。University of Auckland and Washington。  new window
2.Poteshman, A. M.(2000)。Forecasting Future Volatility from Option Prices。University of Illinois at Urbana-Champaign。  new window
學位論文
1.林世釗(2003)。臺灣股價指數現貨、期貨及摩根臺灣股價指數期貨到期效應之研究(碩士論文)。國立臺北大學。  延伸查詢new window
 
 
 
 
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