

臺大管理論叢
第
27
卷第
1
期
289
Valuation of Euro-convertible bonds with embedded options.
Journal of
Financial Studies
, 14 (3): 35-68. doi: 10.6545/JFS.2006.14(3).2)
施東河與王勝助,
2001
,認購權證評價模式與避險部位之研究-混合式智慧型系統的
應用,
資訊管理學報
,
7
卷
2
期:
123-142
。
(Shih, Dong-Her, and Wan, Shen-
Juh. 2001. A study of applying hybrid intelligent systems in the warrant pricing
model and hedging scheme.
Journal of Information Management
, 7 (2): 123-
142.)
柏婉貞與黃柏農,
2009
,臺股日內指數期貨與現貨市場價格發現與套利行為-多變量
門檻自我迴歸模型之應用,
證券市場發展季刊
,
21
卷
2
期:
35-67
。
(Po,
Wan-Chen, and Huang, Bwo-Nung. 2009. Price discovery and arbitrage between
Taiwan intraday stock index futures and spot market–An application of
multivariate threshold models.
Review of Securities and Futures Markets
, 21 (2):
35-67.)
涂登才與劉祥熹,
2012
,跳躍擴散與隨機波動模型下台指選擇權之評價-快速傅立葉
轉換之應用,
管理與系統
,
19
卷
2
期:
201-230
。
(Tu, Teng-Tsai, and Liu,
Hsiang-Hsi. 2012. Jump diffusion and stochastic volatility pricing models of
TAIEX index options: An application of fast Fourier transform.
Journal of
Management & Systems
, 19 (2): 201-230.)
涂登才、劉祥熹與林丙輝,
2012
,跳躍-發散與隨機波動模型之衍生性商品最適避險
策略-快速傅立葉轉換之應用,
證券市場發展季刊
,
24
卷
4
期:
187-224
。
doi: 10.6529/RSFM.2012.24(4).6 (Tu, Teng-Tsai, Liu, Hsiang-Hsi, and Lin, Bing-
Huei. 2012. Optimal option hedging strategy with fast Fourier transform in jump
diffusion and stochastic volatility models.
Review of Securities and Futures
Markets
, 24 (4): 187-224. doi: 10.6529/RSFM.2012.24(4).6)
高國勛,
2012
,雨量衍生性商品的評價,
期貨與選擇權學刊
,
5
卷
1
期:
101-128
。
(Gao,
Guo-Xun. 2012. Pricing of precipitation derivatives.
Journal of Futures and
Options
, 5 (1): 101-128.)
張巧宜、賴靖宜與莊益源,
2013
,期貨最適組合避險模型:新興市場為例,
管理與系統
,
20
卷
2
期:
355-383
。
(Chang, Chiao-Yi, Lai, Jing-Yi, and Chuang, I-Yuan. 2013.
Optimal composite futures hedging models: An application to the emerging
markets.
Journal of Management & Systems
, 20 (2): 355-383.)
張森林、石百達、李存修與施宗佐,
2009
,臺股指數期貨保證金估計模型及結構比之
研究,
期貨與選擇權學刊
,
2
卷
2
期:
108-138
。
(Chung, San-Lin, Shih, Pai-
Ta, Lee, Tsun-Siou, and Shih, Tsung-Tzuo. 2009. On the methodologies of margin