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臺大管理論叢

27

卷第

1

295

10.2307/1240796

Boyle, P. P., and Tian, Y. S. 1999. Pricing lookback and barrier options under the CEV

process.

Journal of Financial and Quantitative Analysis

, 34 (2): 241-264. doi:

10.2307/2676280

Brace, A., Gatarek, D., and Musiela, M. 1997. The market model of interest rate dynamics.

Mathematical Finance

, 7 (2): 127-155. doi: 10.1111/1467-9965.00028

Broadie, M., and Detemple, J. 1996. American option valuation: New bounds,

approximations, and a comparison of existing methods.

Review of Financial

Studies

, 9 (4): 1211-1250. doi: 10.1093/rfs/9.4.1211

Byun, S. J. 2005. Properties of the integral equation arising in the valuation of American

options. 

Asia Pacific Management Review

, 10 (5): 315-320. doi: 10.6126/

APMR.2005.10.5.04

Carr, P., Ellis, K., and Gupta, V. 1998. Static hedging of exotic options.

Journal of

Finance

, 53 (3): 1165-1190. doi: 10.1111/0022-1082.00048

Carr, P., Jarrow, R., and Myneni, R. 1992. Alternative characterizations of American put

options.

Mathematical Finance

, 2 (2): 87-106. doi: 10.1111/j.1467-9965.1992.

tb00040.x

Carr, P., and Madan, D. B. 1999. Option valuation using the fast Fourier transform.

Journal

of Computational Finance

, 2 (4): 61-73. doi: 10.21314/JCF.1999.043

Carr, P., and Wu, L. 2004. Time-changed Lévy processes and option pricing.

Journal of

Financial Economics

, 71 (1): 113-141. doi: 10.1016/S0304-405X(03)00171-5

Chalasani, P., Jha, S., and Varikooty, A. 1998. Accurate approximations for European-style

Asian options.

Journal of Computational Finance

, 1 (4): 11-30. doi: 10.21314/

JCF.1998.017

Chance, D. M., and Rich, D. R. 1998. The pricing of equity swaps and swaptions.

Journal of

Derivatives

, 5 (4): 19-31. doi: 10.3905/jod.1998.408004

Chang, C. C., Chen, C. C., and Tsay, M. H. 2010. Pricing survivor swaps with mortality

jumps and default risk.

Academia Economic Papers

, 38 (2): 119-156.

Chang, C. C., Ho, H. W., Ho, R. J., and Cheng, W. C. 2013. The valuation of employee

reload options with stochastic interest rates. 

Journal of Financial Studies

, 21 (3):

29-62. doi: 10.6545/JFS.2013.21(3).2

Chang, C. W., and Chang, J. S. K. 2012. Hurricane derivatives: Valuation in a warming

environment.

Journal of Financial Studies

, 20 (2): 1-17. doi: 10.6545/JFS.2012.

20(2).1