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台灣衍生性金融商品定價、避險與套利文獻回顧與展望

286

換時點與轉換價值分析,

財務金融學刊

15

1

期:

1-30

doi: 10.6545/JFS.

2007.15(1).1 (Wang, Jennifer L., Yang, Sharon S., Huang, Hong-Chih., and Lee,

Yung-Tsung. 2007. Analysis of switch option under new labor pension plan.

Journal

of Financial Studies

, 15 (1): 1-30. doi: 10.6545/JFS.2007.15(1).1)

古永嘉與曾銘宗,

2013

,期貨交易稅調整對指數期貨及選擇權間價差行為之研究,

業管理學報

98

期:

1-24

(Goo, Yeong-Jia, and Tseng, Ming-Chung. 2013. A

study of the impact of adjustments in the futures transactions tax on the spreads

behavior on the index futures and index options.

Journal of Business

Administration

, 98: 1-24.)

余尚武與黃雅蘭,

2003

,台灣股價指數期貨套利之研究:類神經網路與灰色理論之應

用,

電子商務學報

5

2

期:

87-115

doi: 10.6188/JEB.2003.5(2).05 (Yu,

Shang-Wu, and Huang, Ya-Lan. 2003. An application of neural network and grey

theory on Taiwan Stock Index Futures arbitrage.

Journal of E-Business

, 5 (2):

87-115. doi: 10.6188/JEB.2003.5(2).05)

吳仰哲、廖四郎與林士貴,

2010

Lévy

GARCH-Lévy

過程之選擇權評價與實證分析:

台灣加權股價指數選擇權為例,

管理與系統

17

1

期:

49-74

(Wu, Yang-

Che, Liao, Szu-Lang, and Lin, Shih-Kuei. 2010. Option pricing under Lévy

processes and GARCH-Lévy processes: An empirical analysis on TAIEX Index

Options.

Journal of Management & Systems

, 17 (1): 49-74.)

巫春洲、劉炳麟與楊奕農,

2009

,農產品期貨動態避險策略的評價,

農業與經濟

42

期:

39-62

doi: 10.6181/agec.2009.42.02 (Wu, Chun-Chou, Liu, Nathan, and

Yang, Yi-Nung. 2009. Evaluating the performance of dynamic hedging strategies

in commodity futures markets.

Agriculture and Economics

, 42: 39-62. doi:

10.6181/agec.2009.42.02)

李志偉、張銘仁、黃憲彰與羅烈明,

2009

,以動態規劃法評價員工股票選擇權,

期貨

與選擇權學刊

2

1

期:

99-116

(Lee, Chih-Wei, Chang, Min-Jen, Huang,

Shian-Chang, and Luo, Lieh-Ming. 2009. Evaluation of employee stock options

using dynamic programming.

Journal of Futures and Options

, 2 (1): 99-116.)

李沃牆與柯星妤,

2014

,金磚五國之期貨避險績效-動態

Copula-GJR-GARCH

模型應

用,

期貨與選擇權學刊

7

1

期:

1-36

(Lee, Wo-Chiang, and Ke, Hsing-

Yu. 2014. The hedging performance for BRICS futures–Applying the dynamic

Copula-GJR-GARCH model.

Journal of Futures and Options

, 7 (1): 1-36.)

李享泰與柯冠成,

2010

,台灣股價指數期貨的交叉避險績效,

期貨與選擇權學刊

3

1

期:

47-88

(Lee, Hsiang-Tai, and Ko, Kuan-Cheng. 2010. Cross hedging