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臺大管理論叢

27

卷第

1

293

劉裕宏、姜一銘、王明隆與封之遠,

2012

,在資訊不精確環境下評價具違約性質之選

擇權,

證券市場發展季刊

24

3

期:

183-228

doi: 10.6529/RSFM.2012.

24(3).6 (Liu, Yu-Hong, Jiang, I-Ming, Wang, Ming-Long, and Feng, Zhi-Yuan.

2012. Defaultable options under imprecise information.

Review of Securities and

Futures Markets

, 24 (3): 183-228. doi: 10.6529/RSFM.2012.24(3).6)

潘璟靜、李賢源與吳土城,

2002

,歐式保本型選擇權之設計與定價,

財務金融學刊

10

2

期:

79-124

doi: 10.6545/JFS.2002.10(2).4 (Pan, Ging-Ging, Lee, Shyan-

Yuan, and Wu, Tu-Cheng. 2002. The design and pricing of European rebate option.

Journal of Financial Studies

, 10 (2): 79-124. doi: 10.6545/JFS.2002.10(2).4)

蔡明憲、徐守德、廖四郎與許溪南,

2000

,美式選擇權的定價-隱含相信模型及美國

S&P 100

指數選擇權的應用,

中國財務學刊

8

1

期:

33-66

doi: 10.6545/

JoFS.2000.8(1).2 (Tsai, Ming-Shann, Shyu, So-De, Liao, Szu-Lang, and Hsu, Hsi-

Nan. 2000. Pricing of the American option–An implied belief model and its

application to American S&P 100 index option.

Journal of Financial Studies

, 8

(1): 33-66. doi: 10.6545/JoFS.2000.8(1).2)

戴天時、鍾惠民與何俊儒,

2009

,以

LMM

利率模型評價利率衍生性商品:結合節點

二項樹方法,

臺大管理論叢

20

1

期:

41-68

doi: 10.6226/NTURM2009.

20.1.41 (Dai, Tian-Shyr, Chung, Hui-Min, and Ho, Chun-Ju. 2009. Using the

LIBOR market model to price the interest rate derivatives: A recombining

binomial tree methodology.

NTU Management Review

, 20 (1): 41-68. doi:

10.6226/NTURM2009.20.1.41)

戴孟宜,

2012

,目標區與農產品價格之穩定:農產品現貨與期貨模型,

農業經濟叢刊

18

1

期:

31-81

doi: 10.6196/TAER.2012.18.1.2 (Tai, Meng-Yi. 2012. Target

zones and stabilization of commodity prices: Agricultural spot and futures prices.

Taiwanese Agricultural Economic Review

, 18 (1): 31-81. doi: 10.6196/TAER.

2012.18.1.2)

謝承熹與李賢源,

2004

Heath-Jarrow-Morton

架構下一般化利率交換契約的評價與避

險,

證券市場發展季刊

16

1

期:

97-121

(Hsieh, Cheng-Hsi, and Lee,

Shyan-Yuan. 2004. Pricing and hedging the general type of interest rate swap

under Heath-Jarrow-Morton model.

Review of Securities and Futures Markets

,

16 (1): 97-121.)

闕河士與楊德源,

2005

,股價指數期貨到期日效應之實證:以台灣股票市場為例,

務金融學刊

13

2

期:

71-95

doi: 10.6545/JFS.2005.13(2).3 (Chueh, Horace,

and Yang, Der-Yuan. 2005. Expiration-day effects of index futures: Some