294 / 414
台灣衍生性金融商品定價、避險與套利文獻回顧與展望
294
empirical evidence from Taiwan stock market.
Journal of Financial Studies
, 13
(2): 71-95. doi: 10.6545/JFS.2005.13(2).3)
蘇恩德，
2013
，以
ECM
、
M-GARCH
、門檻
M-GARCH
評估鎳金屬商品期貨契約與
NTD/USD
遠匯避險績效，
證券市場發展季刊
，
25
卷
3
期：
173-220
。
doi:
10.6529/RSFM.2013.25(3).5 (Su, En-Der. 2013. Evaluating the hedging
performance of nickel futures and NTD/USD currency forwards by ECM,
M-GARCH, and threshold M-GARCH.
Review of Securities and Futures
Markets
, 25 (3): 173-220. doi: 10.6529/RSFM.2013.25(3).5)
Alexander, C., Rubinov, A., Kalepky, M., and Leontsinis, S. 2012. Regime- dependent smile-
adjusted delta hedging.
Journal of Futures Markets
, 32 (3): 203-229. doi:
10.1002/fut.20517
Amin, K. I. 1991. On the computation of continuous time option prices using discrete
approximations.
Journal of Financial and Quantitative Analysis
, 26 (4): 477-
495. doi: 10.2307/2331407
Amin, K. I., and Bodurtha, J. N. 1995. Discrete-time valuation of American options with
stochastic interest rates.
Review of Financial Studies
, 8 (1): 193-234. doi:
10.1093/rfs/8.1.193
Amin, K. I., and Jarrow, R. A. 1991. Pricing foreign currency options under stochastic
interest rates.
Journal of International Money and Finance
, 10 (3): 310-329. doi:
10.1016/0261-5606(91)90013-A
Andersen, L., and Broadie, M. 2004. Primal-dual simulation algorithm for pricing
multidimensional American options.
Management Science
, 50 (9): 1222-1234.
doi: 10.1287/mnsc.1040.0258
Barbi, M., and Romagnoli, S. 2014. A copula-based quantile risk measure approach to
estimate the optimal hedge ratio.
Journal of Futures Markets
, 34 (7): 658-675.
doi: 10.1002/fut.21617
Barraquand, J., and Martineau, D. 1995. Numerical valuation of high dimensional
multivariate American securities.
Journal of Financial and Quantitative
Analysis
, 30 (3): 383-405. doi: 10.2307/2331347
Bates, D. S. 1996. Jumps and stochastic volatility: Exchange rate processes implicit in
deutsche mark options.
Review of Financial Studies
, 9 (1): 69-107. doi: 10.1093/
rfs/9.1.69
Bond, G. E. 1984. The effects of supply and interest rate shocks in commodity futures
markets.
American Journal of Agricultural Economics
, 66 (3): 294-301. doi: