臺大管理論叢
第
27
卷第
1
期
291
model of currency futures in imperfect markets–Theory and empirical evidence.
Taipei Economic Inquiry
, 37 (1): 31-67.)
陳安斌與張志良,
2001
,基因演算法自動演化之類神經網路在選擇權評價及避險之研
究:分析與實證,
資訊管理學報
,
7
卷
2
期:
63-80
。
(Chen, An-Pin, and Chang,
Camus. 2001. A genetic adaptive neural network approach to options pricing and
hedging: Analysis and evidence.
Journal of Information Management
, 7 (2):
63-80.)
陳松男與姜一銘,
2004
,匯率連動遠期生效亞洲選擇權,
經濟論文
,
32
卷
1
期:
149-
199
。
(Chen, Son-Nan, and Jiang, I-Ming. 2004. Quanto Forward-Start Asian
options.
Academia Economic Papers
, 32 (1): 149-199.)
陳松男與鄭翔尹,
2000
,組合型權證的正確評價及避險方法,
證券市場發展季刊
,
11
卷
4
期:
1-22
。
(Chen, Son-Nan, and Cheng, Shyang-Yin. 2000. On the pricing
and hedging of an European basket option.
Review of Securities and Futures
Markets
, 11 (4): 1-22.)
陳芬苓與張森林,
2006
,附加年金制的遠期契約價值及政策意涵分析,
證券市場發展
季刊
,
18
卷
1
期:
1-30
。
doi: 10.6529/RSFM.2006.18(1).1 (Chen, Fen-Ling,
and Chung, San-Lin. 2006. The forward contract values and policy implications of
the Supplementary Annuity System.
Review of Securities and Futures Markets
,
18 (1): 1-30. doi: 10.6529/RSFM.2006.18(1).1)
陳煒朋、吳壽山與洪慧妤,
2010
,選擇權價格效率性、放空限制與雜訊交易者風險,
期貨與選擇權學刊
,
3
卷
1
期:
1-31
。
(Chen, Wei-Peng, Wu, Sou-shan, and
Hung, Hui-Yu. 2010. Pricing efficiency, short sales restrictions, and noise trader
risk: Evidence from the TAIEX Options.
Journal of Futures and Options
, 3 (1):
1-31.)
黃永成,
2011
,結合灰關聯分析之模糊連續遺傳演算法對選擇權之評價,
資訊管理學
報
,
18
卷
1
期:
133-153
。
(Huang, Yung-Cheng. 2011. Option pricing using
fuzzy continuous genetic algorithm via grey relational analysis.
Journal of
Information Management
, 18 (1): 133-153.)
黃玉娟、詹淑慧與陳則學,
2012
,新加坡摩根台股期貨到期日效應之因素探討:套利
或操縱?,
管理與系統
,
19
卷
4
期:
761-782
。
(Huang, Yu-Chuan, Chan, Shu-
Hui, and Chen, Tse-Hsueh. 2012. Expiration-day effect of SGX MSCI Taiwan
Index Futures: Arbitrage or manipulation?.
Journal of Management & Systems
,
19 (4): 761-782.)
黃柏凱、張元晨與臧大年,
2004
,影響股價指數期貨定價誤差因素之研究-以臺股期