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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

288

pricing algorithm.

Review of Securities and Futures Markets

, 17 (4): 155-190.

doi: 10.6529/RSFM.2005.17(4).5)

周恆志與杜玉振,

2005

,臺指選擇權市場之套利效率,

管理與系統

12

3

期:

1-26

(Chou, Heng-Chih, and Tu, Yu-Chen. 2005. Arbitrage efficiency tests of the

TAIEX index option market.

Journal of Management & Systems

, 12 (3): 1-26.)

周恆志、陳達新與巫春洲,

2007

Gram-Charlier GARCH

選擇權演算法的評價與避險

績效,

管理與系統

14

1

期:

95-119

(Chou, Heng-Chih, Chen, Dar-Hsin,

and Wu, Chun-Chou. 2007. Valuation and hedging performance of Gram-Charlier

GARCH option pricing algorithm.

Journal of Management & Systems

, 14 (1):

95-119.)

周國端與吳志遠,

2005

,最低收益保證對於國民年金基金之資產配置的影響:隨機線

性規劃方法之應用,

臺大管理論叢

16

1

期:

67-92

doi: 10.6226/NTURM

2005.16.1.67 (Jou, David G., and Wu, Chih-Yuan. 2005. The effects of minimal

return rate guarantee on asset allocation of national pension fund: The application

of linear stochastic programming.

NTU Management Review

, 16 (1): 67-92. doi:

10.6226/NTURM2005.16.1.67)

周麗娟、陳勝源與楊朝成,

2003

,考量信用風險下備兌型認購權證之評價,

臺大管理

論叢

14

1

期:

263-289

doi: 10.6226/NTURM2003.14.1.263 (Chou, Li-Chuan,

Chen, Shen-Yuan, and Yang, Chau-Chen. 2003. Valuation of covered warrant with

credit risk.

NTU Management Review

, 14 (1): 263-289. doi: 10.6226/NTURM

2003.14.1.263)

林士貴、張智凱與廖四郎,

2008

,可解約分紅保單之遞迴評價公式,

財務金融學刊

16

3

期:

107-147

doi: 10.6545/JFS.2008.16(3).4 (Lin, Shih-Kuei, Chang,

Chih-Kai, and Liao, Szu-Lang. 2008. A recursive formula of a participating

contract embedding a surrender option.

Journal of Financial Studies

, 16 (3): 107-

147. doi: 10.6545/JFS.2008.16(3).4)

林允永與謝文良,

2007

,小型指數期貨:低摩擦市場中的資訊衝擊、相對定價與套利

機會,

財務金融學刊

15

1

期:

103-134

doi: 10.6545/JFS.2007.15(1).4 (Lin,

Yun-Yung, and Hsieh, Wen-Liang. 2007. Mini index futures: Information impacts,

relative pricing, and arbitrage opportunities in the least frictional markets.

Journal

of Financial Studies

, 15 (1): 103-134. doi: 10.6545/JFS.2007.15(1).4)

林忠機、張傳章、俞明德與黃一仁,

2006

,具有隱含選擇權之海外可轉換公司債評價

分析,

財務金融學刊

14

3

期:

35-68

doi: 10.6545/JFS.2006.14(3).2 (Lin,

Chung-Gee, Chang, Chung-Chang, Yu, Min-Teh, and Huang, Yi-Jen. 2006.