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臺大管理論叢
第
27
卷第
2
期
245
53-74
。
doi: 10.6656/MR.2003.22.1.CHI.53 (Chang, Chiung-Chiao, and Goo,
Yeong-Jia. 2003. The information transmission and price volatility between spot
and stock index futures markets in TAIFEX: Using bivariate EGARCH-X and
intervention models.
Management Review
, 22 (1): 53-74. doi: 10.6656/MR.2003.
22.1.CHI.53)
莊益源、賴靖宜、王雅晴與薛愛潔,
2014
,臺指選擇權非同步交易時段之資訊內涵,
臺 大 管 理 論 叢
,
24
卷
S1
期:
1-27
。
doi: 10.6226/NTURM2014.AUG.D06
(Chuang, I-Yuan, Lai, Jing-Yi, Wang, Ya-Ching, and Xue, Ai-Jie. 2014.
Information content of nonsynchronous trading for Taiwan stock index options.
NTU Management Review
, 24 (S1): 1-27. doi: 10.6226/NTURM2014.AUG.D06)
許美滿與鍾惠民,
2009
,無模型設定隱含波動性模型預測績效-台指選擇權市場實證,
期貨與選擇權學刊
,
2
卷
1
期:
33-68
。
(Hseu, Mei-Maun, and Chung, Hui-
Min. 2009. Forecasting performance of model-free implied volatility for the
Taiwan option market.
Journal of Futures and Options
, 2 (1): 33-68.)
許溪南、何怡滿與許羽呈,
2012
,台指選擇權預期報酬率之探討,
證券市場發展季刊
,
24
卷
2
期:
179-214
。
doi: 10.6529/RSFM.2012.24(2).5 (Hsu, Hsi-Nan, Ho,
Emily, and Hsu, Yu-Cheng. 2012. Expected returns on TAIEX options.
Review of
Securities and Futures Markets
, 24 (2): 179-214. doi: 10.6529/RSFM.2012.
24(2).5)
許溪南、吳依正與黃金生,
2009
,臺灣股價指數的股利估計及其對台指期貨定價的影
響,
經濟研究
,
45
卷
1
期:
103-141
。
(Hsu, Hsi-Nan, Wu, Yi-Chen, and Huang,
Chin-Sheng. 2009. Estimation of TAIEX’s dividend payouts and impacts on the
pricing of TAIEX index futures.
Taipei Economic Inquiry
, 45 (1): 103-141.)
許溪南、林昭賢與陳浚泓,
2005
,
B-S
模式與隨機波動性定價模式之比較:台指選擇
權之實證,
中山管理評論
,
13
卷
4
期:
837-871
。
(Hsu, Hsi-Nan, Lin, Chao-
Hsien, and Chen, Jiun-Hung. 2005. A comparison between B-S model and
stochastic volatility option pricing models: Empirical evidence from TAIEX
options.
Sun Yat-Sen Management Review
, 13 (4): 837-871.)
許溪南、徐守德、郭玟秀與鄭麗慧,
2007
,外資介入對台股指數與指數期貨正逆價差
之影響,
經濟研究
,
43
卷
1
期:
65-91
。
(Hsu, Hsi-Nan, Shyu, David, Kuo,
Wen-Hsiu, and Tee, Leap-Foi. 2007. The impact of foreign capital on the basis
between Taiwan stock market and futures market.
Taipei Economic Inquiry
, 43
(1): 65-91.)
許溪南、詹世煌與謝宗祐,
2000
,選擇權隱含波動性與標的資產歷史波動性及選擇權