:::

詳目顯示

回上一頁
題名:No Arbitrage Pricing of Cross Currency Moving Average Exchange Options
書刊名:輔仁管理評論
作者:邱嘉洲韓千山莊雅竹
作者(外文):Chiu, Chia-chouHan, Chien-shanChuang, Ya-chu
出版日期:2020
卷期:27:3
頁次:頁37-66
主題關鍵詞:跨通貨移動平均交換選擇權匯率連動選擇權Cross currencyMoving averageExchange optionsQuanto 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(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: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.Garman, M. B.、Kohlhagen, S. W.(1983)。Foreign Currency Option Values。Journal of International Money and Finance,2(3),231-237。  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.Margrabe, W.(1978)。The Value of an Option to Exchange One Asset to Another。Journal of Finance,33(1),177-186。  new window
5.Reiner, E.(1992)。Quanto mechanics。Risk,5(3),59-63。  new window
6.Chen, K. C.、Sears, R. Stephen、Shahrokhi, M.(1992)。Pricing Nikkei Put Warrants: Some Empirical Evidence。Journal of Financial Research,15(3),231-251。  new window
7.Dravid, Ajay R.、Richardson, Matthew、Sun, Tong-Sheng(1993)。Pricing Foreign Index Contingent Claims: An Application to Nikkei Index Warrants。Journal of Derivatives,1(1),33-51。  new window
8.Tsao, C. Y.、Chang, C. C.、Lin, C. G.(2003)。Analytic Approximation Formulae for Pricing Forward-Starting Asian Options。Journal of Futures Markets,23(5),487-516。  new window
9.Levy, Edmond(1992)。Pricing European Average Rate Currency Options。Journal of International Money and Finance,11(5),474-491。  new window
10.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
11.Bennett, M. N.、Kennedy, J. E.(2003)。Quanto Pricing with Copulas。Journal of Derivatives,12(1),26-45。  new window
12.Chung, S. L.、Shackleton, M.、Wojakowski, R. M.(2003)。Efficient Quadratic Approximation of Floating Strike Asian Option Values。Finance,24(1),49-62。  new window
13.Chuang, S. L.、Wang, Y. H.(2008)。Bounds and Prices of Currency Cross-rate Options。Journal of Banking & Finance,32(5),631-642。  new window
14.Chang, C. C.、Liao, T. H.、Tsao, C. Y.(2011)。Pricing and Hedging Quanto Forward-Starting Floating-Strike Asian Options。Journal of Derivatives,18(4),37-53。  new window
15.Chang, C. C.、Tsao, C. Y.(2011)。Efficient and Accurate Quadratic Approximation Methods for Pricing Asian Strike Options。Quantitative Finance,11(5),729-748。  new window
16.Dai, M.、Wong, H. Y.、Kwok, Y. K.(2004)。Quanto Lookback Options。Mathematical Finance,14(3),445-467。  new window
17.韓千山、邱嘉洲、蔡鎮宇、簡榮治(20200500)。金融產品創新及其定價:移動平均交換選擇權。輔仁管理評論,27(2),1-37。new window  延伸查詢new window
18.Lee, J.、Lee, Y.(2019)。Pricing Symmetric Type of Power Quanto Options。Bulletin of the Korean Mathematical Society,56(2),351-364。  new window
19.Wei, J. Z.(1993)。Pricing Nikkei Put Warrants。Journal of Multinational Financial Management,2(2),45-75。  new window
20.Wei, J. Z.(1994)。Market Efficiency: Experiences with Nikkei Put Warrants。Canadian Journal of Administrative Sciences,11(1),12-23。  new window
21.Bouaziz, L.、Briys, E.、Crouhy, M.(1994)。The Pricing of Forward-starting Asian Options。Journal of Banking & Finance,18(5),823-839。  new window
圖書
1.Derman, Emanual、Karasinski, Piotr、Wecker, Jeffrey S.(1990)。Understanding Guaranteed Exchange-Rate Contracts in Foreign Stock Investments。Goldman Sachs & Co.。  new window
2.Ingersoll, J. E. Jr.(1987)。Theory of Financial Decision Making。Totowa, NJ:Rowman & Littlefield。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top