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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

296

Chang, C. W., Chang, J. S. K., and Lim, K. G. 1998. Information-time option pricing: Theory

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Chang, C. W., Chang, J. S. K., and Wen, M. M. 2014. Optimum hurricane futures hedge in a

warming environment: A risk-return jump-diffusion approach.

Journal of Risk

and Insurance

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Chang, C. W., Chang, J. S. K., and Yu, M. T. 1996. Pricing catastrophe insurance futures call

spreads: A randomized operational time approach.

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price distributions in option pricing: Review and integration.

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Chen, R. R., Liao, H. H., and Yang, T. 2004.

An equilibrium mortgage pricing model.

Working paper, Rutgers University, New Brunswick, NJ.

Choi, Y., and Song, J. 2008. An improved approach for valuing American options and their

greeks by least-squares Monte Carlo simulation.

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Chung, S. L., and Chang, H. C. 2007. Generalized analytical upper bounds for American

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Chung, S. L., Chu, C. M., Lee, H. H., and Yeh, C. Y. 2011. Applying control variate

technique to the Monte Carlo simulation of option prices.

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Chung, S. L., Hung, M. W., and Wang, J. Y. 2010. Tight bounds on American option prices.

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Chung, S. L., Lai, H. W., Lin, S. Y., and Shyy, G. 2004. CB asset swaps and CB options:

Structure and pricing.

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Chung, S. L., and Shih, P. T. 2007. Generalized Cox-Ross-Rubinstein binomial models.

Management Science

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. 2009. Static hedging and pricing American options.

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Chung, S. L., Shih, P. T., and Tsai, W. C. 2013a. Static hedging and pricing American

knock-in put options.

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