:::

詳目顯示

回上一頁
題名:金融產品創新及其定價:移動平均交換選擇權
書刊名:輔仁管理評論
作者:韓千山邱嘉洲蔡鎮宇簡榮治
作者(外文):Han, Chien-shanChiu, Chia-chouTsai, Chen-yuChien, Jung-chih
出版日期:2020
卷期:27:2
頁次:頁1-37
主題關鍵詞:移動平均交換選擇權移動平均交換選擇權歐式選擇權Moving average exchange optionsMoving averageExchange optionsEuropean options
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:0
  • 點閱點閱:5
期刊論文
1.Kao, C. H.、Lyuu, Y. D.(2003)。Pricing of moving average-type options with applications。Journal of Futures Markets,23(5),415-440。  new window
2.Dai, T. S.、Fang, Y. Y.、Lyuu, Y. D.(2005)。Analytics for geometric average trigger reset options。Applied Economics Letters,12(13),835-840。  new window
3.Milevsky, Moshe A.、Posner, Steven E.(1998)。Asian options, the sum of lognormals, and the reciprocal gamma distribution。The Journal of Financial and Quantitative Analysis,33(3),409-422。  new window
4.Boyle, Phelim P.、Broadie, Mark、Glasserman, Paul(1997)。Monte Carlo Methods for Security Pricing。Journal of Economic Dynamics and Control,21(8/9),1267-1321。  new window
5.Vorst, T.(1992)。Prices and Hedge Ratios of Average Exchange Rate Options。International Review of Financial Analysis,1(3),179-193。  new window
6.Merton, R. C.(1973)。Theory of rational option pricing。The Bell Journal of Economics and Management Science,4(1),141-183。  new window
7.Levy, Edmond(1992)。Pricing European Average Rate Currency Options。Journal of International Money and Finance,11(5),474-491。  new window
8.Margrabe, William(1978)。The Value of an Option to Exchange One Asset for Another。The Journal of Finance,33(1),177-186。  new window
9.Turnbull, Stuart M.、Wakeman, Lee MacDonald(1991)。A quick algorithm for pricing European average options。The Journal of Financial and Quantitative Analysis,26(3),377-389。  new window
10.Kemna, A. G. Z.、Vorst, A. C. F.(1990)。A pricing method for options based on average asset values。Journal of Banking and Finance,14(1),113-129。  new window
11.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
12.Dai, M.、Li, P. F.、Zhang, J. E.(2010)。A Lattice Algorithm for Pricing Moving Average Barrier Options。Journal of Economic Dynamics and Control,34(3),542-554。  new window
13.Heritage, J. P.(2002)。Pricing Moving Average Barrier Options。Journal of Computational Finance,5(4),51-67。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE