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題名:市場高度不確定下選擇權組合策略之有效性
書刊名:期貨與選擇權學刊
作者:許溪南蔡秀怡闕河士 引用關係
作者(外文):Hsu, HsinanTsai, HsiuyiChueh, Horace
出版日期:2018
卷期:11:3
頁次:頁1-55
主題關鍵詞:選擇權組合策略報酬/風險特徵跨式部位勒式部位資產價格變動臨界點Option combination strategiesReturn/RiskCharacteristicsStraddleStrangleCritical point of price change
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(0) 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:0
  • 共同引用共同引用:9
  • 點閱點閱:5
期刊論文
1.Bookstaber, R.、Clarke, R.(1983)。An Algorithm to Calculate the Return Distribution of Portfolios with Option Positions。Management Science,29(4),419-429。  new window
2.Aparicio, F. M.、Estrada, J.(2001)。Empirical Distributions of Stock Returns: European Securities Markets: 1990-95。European Journal of Finance,7(1),1-21。  new window
3.Affleck-Graves, J.、McDonald, J. B.(1989)。Nonnormalities and Tests of Asset Pricing Theories。Journal of Finance,44(4),889-908。  new window
4.Coval, J. D.、Shumway, T.(2001)。Expected Option Returns。Journal of Finance,56(3),983-1009。  new window
5.Smith, Clifford W. Jr.(1976)。Option Pricing: A Review。Journal of Financial Economics,3(1),3-51。  new window
6.Chaput, J. S.、Ederington, L. H.(2003)。Option spread and combination trading。Journal of Derivatives,10(4),70-88。  new window
7.Goltz, F.、Lai, W. N.(2009)。Empirical Properties of Straddle。Journal of Derivatives,17(1),38-48。  new window
8.許溪南(20151200)。Options Trading, Buy Side or Sell Side? Theoretical Analysis and Interpretation。期貨與選擇權學刊,8(3),97-148。  new window
9.Santa-Clara, Pedro、Saretto, Alessio(2009)。Option Strategies: Good Deals and Margin Calls。Journal of Financial Markets,12(3),391-417。  new window
10.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
11.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
12.Fama, Eugene F.(1965)。The Behavior of Stock-Market Prices。Journal of Business,38(1),34-105。  new window
13.Richardson, M.、Smith, T.(1993)。A Test for Multivariate Normality in Stock Returns。Journal of Business,66(2),295-321。  new window
圖書
1.Fama, Eugene F.(1976)。Foundations of Finance: Portfolio Decisions and Securities Prices。Basic Books。  new window
 
 
 
 
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