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題名:選擇權隱含風險中立機率密度函數之解釋能力與預測能力的檢驗--以外幣選擇權為例
書刊名:期貨與選擇權學刊
作者:黃昭景陳仁遶葉仕國
作者(外文):Huang, JeffreyChen, Ren-rawYeh, Shih-kuo
出版日期:2017
卷期:10:2
頁次:頁1-50
主題關鍵詞:風險中立機率密度函數隱含波動率外幣選擇權外幣交換曲線動差Risk neutral densityRNDImplied volatilityFX optionFX swap curveMoment
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:0
  • 點閱點閱:94
期刊論文
1.Figlewski, S.(2002)。Assessing the incremental value of option pricing theory relative to an informationally passive benchmark。Journal of Derivatives,10(1),80-96。  new window
2.Bliss, Robert R.、Panigirtzoglou, Nikolaos(2004)。Option-implied risk aversion estimates。Journal of Finance,59(1),407-446。  new window
3.Bakshi, G.、Madan, D. B.(2000)。Spanning and Derivative Security Valuation。Journal of Financial Economics,55(2),205-238。  new window
4.Bakshi, G. S.、Kapadia, N.、Madan, D.(2003)。Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options。Review of Financial Studies,16(1),101-143。  new window
5.Britten-Jones, M.、Neuberger, A.(2000)。Option Prices, Implied Price Processes, and Stochastic Volatility。Journal of Finance,55(2),839-866。  new window
6.Rubinstein, Mark(1994)。Implied binomial trees。Journal of Finance,49(3),771-818。  new window
7.Derman, E.、Kani, I.(1994)。Riding on a Smile。Risk,7(2),32-39。  new window
8.Heston, Steven L.(1993)。A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options。Review of Financial Studies,6(2),327-343。  new window
9.Breeden, D. T.、Litzenberger, R. H.(1978)。Prices of StateContingent Claims Implicit in Option Prices。Journal of Business,51(4),621-651。  new window
10.Diavatopoulos, D.、Doran, J. S.、Fodor, A.、Peterson, D. R.(2012)。The Information Content of Implied Skewness and Kurtosis Changes Prior to Earnings Announcements for Stock and Option returns。Journal of Banking and Finance,36(3),786-802。  new window
11.Coakley, J.、Dotsis, G.、Liu, X.、Zhai, J.(2014)。Investor Sentiment and Value and Growth Stock Index Options。The European Journal of Finance,20(12),1-19。  new window
12.Burgin, M.、Meissner, G.(2012)。Negative Probabilities in Financial Modeling。Wilmott Magazine,58,60-65。  new window
13.Haug, E. G.(2004)。Why so Negative to Negative Probabilities?。Wilmott Magazine,34-38。  new window
14.Dunpire, B.(1994)。Pricing with a Smile。RISK,139-145。  new window
15.Orosi, G.(2015)。Estimating Option-implied Risk-neutral Densities: A Novel Parametric Approach。Journal of Derivatives,23(1),41-61。  new window
16.Monteiro, A. M.、Tutuncu, R. H.、Vicente, L. N.(2008)。Recovering Risk-Neutral Probability Density Functions from Options Prices Using Cubic Splines and Ensuring Nonnegativity。European Journal of Operational Research,187(2),525-542。  new window
17.Malz, A.(1997)。Option-implied Probability Distributions and Currency Excess Returns。The Journal of Derivatives,5(2),18-36。  new window
18.Lai, W. N.(2014)。Comparison of Methods to Estimate Option Implied Risk-Neutral Densities。Quantitative Finance,14,1839-1855。  new window
19.Szu, W. M.、Wang, Y. C.、Yang, W. R.(2015)。How Does Investor Sentiment Affect Implied Risk-Neutral Distributions of Call and Put Options?。Review of Pacific Basin Financial Markets and Policies,18(2),1-15。  new window
20.Szu, W. M.、Wang, W. R.(2014)。Influence of Individual Investor Sentiment on Taiwan Option Prices During 2007-2010 Financial Crisis。Managerial Finance,41(5),437-464。  new window
21.Söderling, P.(2000)。Market Expectations in the UK Before and After the ERM Crisis。Economica,67,1-18。  new window
22.Canina, Linda、Figlewski, Stephen(1993)。The informational Content of Implied Volatility。The Review of Financial Studies,6(3),659-681。  new window
圖書
1.Figlewski, S.(2008)。Estimating the Implied Risk Neutral Density。Oxford University Press。  new window
單篇論文
1.Malz, A.(2014)。A Simple and Reliable Way to Compute OptionBased Risk-Neutral Distributions。  new window
 
 
 
 
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