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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

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

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

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

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

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

1

期:

1-46

(Chen, Wei-Peng, Wu, Sou-Shan, and

Hung, Hui-Yu. 2010. Pricing efficiency, short sales restrictions, and noise trader