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台灣衍生性金融商品市場實證與運用研究文獻回顧與展望
246
參數之關聯性,
亞太管理評論
,
5
卷
4
期:
385-401
。
doi: 10.6126/APMR.
2000.5.4.01 (Hsu, Hsi-Nan, Chan, Shih-Huang, and Hsieh, Tzung-Yuan. 2000.
The relationship between implied volatilities of options and historical volatilities
of the underlying asset and option parameters.
Asia Pacific Management Review
,
5 (4): 385-401. doi: 10.6126/APMR.2000.5.4.01)
連春紅、廖四郎與李政峰,
2005
,估計與比較連續時間利率模型-台灣商業本票之實
證分析,
管理評論
,
24
卷
1
期:
29-53
。
doi: 10.6656/MR.2005.24.1.CHI.29 (Lien,
Chun-Hung, Liao, Szu-Lang, and Lee, Cheng-Feng. 2005. Empirical comparison
of interest rate models: The case of Taiwan commercial paper rate.
Management
Review
, 24 (1): 29-53. doi: 10.6656/MR.2005.24.1.CHI.29)
郭玟秀,
2014
,市場狀態和台灣選擇權交易活動與股價關係之探討,
應用經濟論叢
,
95
期:
101-145
。
doi: 10.3966/054696002014060095004 (Kuo, Wen-Hsiu. 2014.
The market states and the relationship between option trade activity and stock
prices in Taiwan.
Taiwan Journal of Applied Economics
, 95: 101-145. doi:
10.3966/054696002014060095004)
郭維裕、陳威光、陳鴻隆與林信助,
2009
,動態隱含波動度模型:以台指選擇權為例,
期貨與選擇權學刊
,
2
卷
2
期:
47-88
。
(Kuo, Wei-Yu, Chen, Wei-Kuang, Chen,
Hung-Lung, and Lin, Shinn-Juh. 2009. Dynamic implied volatility functions in
Taiwan options market.
Journal of Futures and Options
, 2 (2): 47-88.)
郭維裕、陳鴻隆與陳威光,
2013
,選擇權市場效率性檢定:隱含波動率成對交易檢定
法,
管理與系統
,
20
卷
3
期:
425-458
。
(Kuo, Wei-Yu, Chen, Hung-Lung, and
Chen, Wei-Kuang. 2013. Testing options market efficiency with applications to
implied volatility pair trading test.
Journal of Management & Systems
, 20 (3):
425-458.)
陳明琪、張有中與林逾先,
2009
,技術創新下不同風險型態之最適投資決策:實質選
擇權與產品生命週期之應用,
管理學報
,
26
卷
5
期:
507-532
。
doi: 10.6504/
JOM.2009.26.05.02 (Chen, Ming-Chi, Chang, Yu-Chung, and Lin, Edward
Yu-Hsien. 2009. The optimal investment decision of different risk types on
technological innovation under uncertainty: Using real options approach and
product life cycle.
Journal of Management
, 26 (5): 507-532. doi: 10.6504/
JOM.2009.26.05.02)
陳煒朋、吳壽山與洪慧妤,
2010
,選擇權價格效率性、放空限制與雜訊交易者風險,
期貨與選擇權學刊
,
3
卷
1
期:
1-46
。
(Chen, Wei-Peng, Wu, Sou-Shan, and
Hung, Hui-Yu. 2010. Pricing efficiency, short sales restrictions, and noise trader