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臺大管理論叢

27

卷第

1

285

參考文獻

王明隆與蕭義龍,

2006

,以

PDE

評價離散式兩資產障礙選擇權,

財務金融學刊

14

3

期:

1-33

doi: 10.6545/JFS.2006.14(3).1 (Wang, Ming-Long, and Hsiao,

Yi- Long. 2006. A PDE approach to value the discrete two-asset barrier option.

Journal of Financial Studies

, 14 (3): 1-33. doi: 10.6545/JFS.2006.14(3).1)

王昭文、張嘉倩與陳彥伶,

2006

,考慮雙方交易對手違約風險、標的資產違約風險與

市場風險交互影響下信用違約交換之評價,

財務金融學刊

14

3

期:

69-

110

doi: 10.6545/JFS.2006.14(3).3 (Wang, Chou-Wen, Chang, Chia-Chien, and

Chen, Yan-Ling. 2006. Pricing credit default swaps with the intersection of

bilateral counterparties, reference, and market risks.

Journal of Financial Studies

,

14 (3): 69-110. doi: 10.6545/JFS.2006.14(3).3)

王健聰,

2006

,市場不完美性與指數套利關係之研究,

管理與系統

13

4

期:

441-

469

(Wang, Jan-Chung. 2006. The relation between market imperfections and

index arbitrage.

Journal of Management & Systems

, 13 (4): 441-469.)

2011

,考慮匯率風險與高狹峰分配之最小變異數避險比率估計-新加坡摩根

台股指數期貨之驗證,

證券市場發展季刊

23

4

期:

111-142

doi: 10.6529/

RSFM.2011.23(4).4 (Wang, Jan-Chung. 2011. Estimation of minimum variance

hedge ratio incorporating exchange rate risk and leptokurtic distribution: Evidence

from the SGX MSCI Taiwan Index Futures.

Review of Securities and Futures

Markets

, 23 (4): 111-142. doi: 10.6529/RSFM.2011.23(4).4)

王健聰與許溪南,

2002

,市場不完美度與股價指數期貨定價關係的一些理論假說與實

證,

經濟研究

38

2

期:

133-163

(Wang, Jan-Chung, and Hsu, Hsi-Nan.

2002. Some theoretical hypotheses and empirical tests about the relationship

between degree of market imperfection and pricing of stock index futures.

Taipei

Economic Inquiry

, 38 (2): 133-163.)

王健聰與闕河士,

2006

,股價波動性、融券賣空限制與定價績效-

SGX-DT

摩根台股

TAIFEX

台股指數期貨之實證,

交大管理學報

26

2

期:

91-122

(Wang,

Jan-Chung, and Chueh, Horace. 2006. Stock price volatility, short sales

restrictions, and price performance: Evidence from SGX-DT futures and TAIFEX

futures.

Chiao Da Mangement Review

, 26 (2): 91-122.)

王銘杰與徐守德,

2001

,跨通貨股酬交換及交換選擇權之評價,

管理評論

20

1

期:

1-34

(Wang, Ming-Chieh, and Shyu, So-De. 2001. The pricing of cross-currency

equity swaps and swaptions.

Management Review

, 20 (1): 1-34.)

王儷玲、楊曉文、黃泓智與李永琮,

2007

,勞退新制下個人帳戶與年金保險制最適轉