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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

292

貨為例,

證券市場發展季刊

16

2

期:

81-114

(Huang, Po-Kai, Chang,

Yuan-Chen, and Tzang, Dah-Nein. 2004. The determinants of mispricing of index

futures contracts: The case of Taiwan Stock Index Futures.

Review of Securities

and Futures Markets

, 16 (2): 81-114.)

楊明晶、董澍琦與劉孟宜,

2010

,外匯風險管理-外匯期貨及遠期外匯契約之避險效

益分析,

證券市場發展季刊

22

3

期:

105-136

doi: 10.6529/RSFM.2010.

22(3).4 (Yang, Ming-Jing, Doong, Shuh-Chyi, and Liu, Meng-Yi. 2010. Foreign

exchange risk management–Analysis of the hedging effectiveness of the currency

futures and currency forwards.

Review of Securities and Futures Markets

, 22 (3):

105-136. doi: 10.6529/RSFM.2010.22(3).4)

楊明晶與賴奕全,

2008

,以各種模型及避險策略研究股價指數期貨之避險效益,

期貨

與選擇權學刊

1

1

期:

117-150

(Yang, Ming-Jing, and Lai, Yi-Chuan.

2008. The hedging effectiveness of stock index futures for alternative models and

hedging strategies.

Journal of Futures and Options

, 1 (1): 117-150.)

葉仕國、林丙輝與陳嘉蘭,

2011

,臺灣公債期貨實物交割與現金交割在避險績效之比

較研究,

證券市場發展季刊

23

4

期:

143-181

doi: 10.6529/RSFM.2011.

23(4).5 (Yeh, Shih-Kuo, Lin, Bing-Huei, and Chen, Cha-Lan. 2011. The hedging

performance of Taiwan Government Bond Futures: Physical delivery vs. cash

settlement.

Review of Securities and Futures Markets

, 23 (4): 143-181. doi:

10.6529/RSFM.2011.23(4).5)

葉仕國、林丙輝與葉煥文,

2007

,臺灣公債期貨及隱含品質選擇權之評價,

證券市場

發展季刊

19

3

期:

117-162

(Yeh, Shih-Kuo, Lin, Bing-Huei, and Yeh,

Huan-Wen. 2007. Valuing Taiwanese Bond Futures and the embedded quality

option.

Review of Securities and Futures Markets

, 19 (3): 117-162.)

詹錦宏與施介人,

2005

,台股指數現貨、期貨與選擇權價格發現之研究,

台灣金融財

務季刊

6

1

期:

31-51

(Chan, Chin-Horng, and Shih, Chieh-Jen. 2005.

Price discovery in Taiwan Stock Index derivatives markets.

Taiwan Banking &

Finance Quarterly

, 6 (1): 31-51.)

廖咸興、張森林、陳仁遶、楊太樂與廖堃宇,

2007

,房貸基礎證券評價與風險值-風

險中立評價法與均衡評價法之比較,

財務金融學刊

15

2

期:

1-42

doi:

10.6545/JFS.2007.15(2).1 (Liao, Hsien-Hsing, Chung, San-Lin, Chen, Ren-Raw,

Yan, Ty-Ler, and Liao, Kun-Yu. 2007. Valuation and value-at-risk of mortgage-

backed securities–Risk neutral pricing and equilibrium pricing.

Journal of

Financial Studies

, 15 (2): 1-42. doi: 10.6545/JFS.2007.15(2).1)