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臺大管理論叢

27

卷第

1

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

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

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

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

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

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

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

2

期:

108-138

(Chung, San-Lin, Shih, Pai-

Ta, Lee, Tsun-Siou, and Shih, Tsung-Tzuo. 2009. On the methodologies of margin