臺大管理論叢
第
27
卷第
1
期
287
effectiveness of Taiwan Stock Index Futures.
Journal of Futures and Options
, 3
(1): 47-88.)
李享泰、康義鑫與柯冠成,
2011
,
ICA-GARCH
模型在動態期貨避險的應用,
管理學
報
,
28
卷
2
期:
171-189
。
doi: 10.6504/JOM.2011.28.02.04 (Lee, Hsiang-Tai,
Kang, Yi-Shin, and Ko, Kuan-Cheng. 2011. An ICA-GARCH model for dynamic
futures hedging.
Journal of Management
, 28 (2): 171-189. doi: 10.6504/JOM.
2011.28.02.04)
李享泰與彭智煒,
2010
,使用考慮正負不對稱基差效果之馬可夫狀態轉換時變相關係
數
GARCH
模型進行能源期貨避險,
管理學報
,
27
卷
5
期:
479-501
。
doi:
10.6504/JOM.2010.27.05.04 (Lee, Hsiang-Tai, and Peng, Chih-Wei. 2010. A
Markov regime switching time varying correlation GARCH model with
asymmetric basis effect for energy futures hedging.
Journal of Management
, 27
(5): 479-501. doi: 10.6504/JOM.2010.27.05.04)
李賢源、朱香蕙與許嘉玲,
2006
,利率交換之利差期間結構模型-吻合殖利率曲線與
分析解,
管理與系統
,
13
卷
4
期:
415-440
。
(Lee, Shyan-Yuan, Chu, Hsiang-
Hui, and Hsu, Chia-Ling. 2006. Term structure of interest rate swap spreads–
Consistent with the market yield curve and analytical solution.
Journal of
Management & Systems
, 13 (4): 415-440.)
李賢源、陳兆維、林信宏與謝承熹,
2007
,不同利率模型、不同標的利率之利率選擇
權評價差異分析,
證券市場發展季刊
,
19
卷
1
期:
47-90
。
(Lee, Shyan-Yuan,
Chen, Vincent, Lin, Shin-Hung, and Hsieh, Cheng-Hsi. 2007. Pricing analysis of
interest rate options with different underlyings in alternative term structure
models.
Review of Securities and Futures Markets
, 19 (1): 47-90.)
李賢源與劉柏宏,
2003
,重設選擇權的評價、
Delta
問題與避險設計:以台灣為例,
證券市場發展季刊
,
15
卷
2
期:
31-61
。
(Lee, Shyan-Yuan, and Liu, Wisely.
2003. Pricing, delta issues and hedging design on reset options: The case of
Taiwan.
Review of Securities and Futures Markets
, 15 (2): 31-61.)
周恆志,
2009
,障礙選擇權違約風險模型之績效與應用,
管理學報
,
26
卷
3
期:
275-
289
。
doi: 10.6504/JOM.2009.26.03.03 (Chou, Heng-Chih. 2009. Performance
and application of the default risk model based on barrier option framework.
Journal of Management
, 26 (3): 275-289. doi: 10.6504/JOM.2009.26.03.03)
周恆志與巫春洲,
2006
,
Edgeworth Garch
選擇權演算法的實證應用,
證券市場發展季
刊
,
17
卷
4
期:
155-190
。
doi: 10.6529/RSFM.2005.17(4).5 (Chou, Heng-Chih,
and Wu, Chun-Chou. 2006. An empirical study of Edgeworth GARCH option