

臺大管理論叢
第
27
卷第
1
期
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
卷
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
卷
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
卷
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
卷
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
卷
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
卷
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,
財
務金融學刊
,
13
卷
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