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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

290

setting the ratios among initial, maintenance and clearing margins–The case of

TAIFEX Stock Index Futures.

Journal of Futures and Options

, 2 (2): 108-138.)

張森林、石百達與葉宗穎,

2008

,具單調與平滑收斂特性的二項樹選擇權定價模型分

析,

期貨與選擇權學刊

1

2

期:

47-72

(Chung, San-Lin, Shih, Pai-Ta, and

Yeh, Chung-Ying. 2008. Binomial option pricing models with monotonic and

smooth convergence property.

Journal of Futures and Options

, 1 (2): 47-72.)

張森林與何振文,

2002

,蒙地卡羅模擬法在美式選擇權評價之應用,

財務金融學刊

10

3

期:

33-61

doi: 10.6545/JFS.2002.10(3).2 (Chung, San-Lin, and Ho,

Chen-Wen. 2002. Pricing American options using Monte Carlo simulation.

Journal of Financial Studies

, 10 (3): 33-61. doi: 10.6545/JFS.2002.10(3).2)

張傳章、張森林與許博翔,

2000

, 隨機波動性下障礙選擇權之評價分析,

中國財務學

8

3

期:

41-77

doi: 10.6545/JoFS.2000.8(3).2 (Chang, Chuang-Chang,

Chung, San-Lin, and Sheu, Bor-Shayang. 2000. Pricing barrier options under

stochastic volatility.

Journal of Financial Studies

, 8 (3): 41-77. doi: 10.6545/

JoFS.2000.8(3).2)

張傳章、張森林與廖志峰,

2000

,平均式價格選擇權定價理論與實例分析,

證券市場

發展季刊

11

4

期:

23-56

(Chang, Chuang-Chang, Chung, San-Lin, and

Liao, Tze-Fong. 2000. Pricing Asian-style options: Theory and application.

Review of Securities and Futures Markets

, 11 (4): 23-56.)

張傳章與劉明滄,

2000

,靜態避險:以障礙選擇權及向後看選擇權為例,

證券市場發

展季刊

12

1

期:

71-108

(Chang, Chuang-Chang, and Liu, Min-Chuan.

2000. Static hedge: The case of barrier options and lookback options.

Review of

Securities and Futures Markets

, 12 (1): 71-108.)

張簡彰程、林楚雄與趙婉辛,

2012

,期貨最適避險比率之估計-

Bias-corrected EWMA

法,

經濟研究

48

2

期:

225-252

(Chang Chien, Chang-Cheng, Lin, Chu-

Hsiung, and Chao, Wan-Hsin. 2012. Estimation of optimal hedge ratio for stock

index futures: Bias-corrected EWMA method.

Taipei Economic Inquiry

, 48 (2):

225-252.)

莊忠柱,

2004

NGARCH

組合型權證定價模型的評價與避險績效,

管理與系統

11

3

期:

323-337

(Chuang, Chung-Chu. 2004. On the valuation and hedging

performances of NGARCH basket options pricing model.

Journal of

Management & Systems

, 11 (3): 323-337.)

許溪南與黃清滿,

2001

,不完全市場下外匯期貨之定價-理論與實證,

經濟研究

37

1

期:

31-67

(Hsu, Hsi-Nan, and Huang, Ching-Mann. 2001. The pricing