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臺大管理論叢

27

卷第

1

299

options and spot market among different levels of moneyness: Application of

Bi-Egarch model and neuron algorithm.

Asia Pacific Management Review

, 14

(2): 159-174. doi: 10.6126/APMR.2009.14.2.04

Hsueh, L. P. 2001. Analysis of American discrete barrier option with stochastic

rebate.

Journal of Financial Studies

, 9 (1): 27-46. doi: 10.6545/JoFS.2001.9(1).2

Huang, H. H., and Lee, T. S. 2007. Valuing default and prepayment options in mortgages:

No-arbitrage bivariate lattice and its applications.

Review of Securities and

Futures Markets

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Hull, J. C., and White, A. D. 1993. Efficient procedures for valuing European and American

path-dependent options. 

Journal of Derivatives

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1993.407869

Hung, M. W., and Liu, Y. H. 2006. Valuation of weather derivatives. 

Journal of Financial

Studies

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Hung, M. W., Pan, T. H., and Huang, S. C. 2011. Geographic effect of futures hedge

performance.

Review of Securities and Futures Markets

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6529/RSFM.2010.22(4).2

Jacka, S. D. 1991. Optimal stopping and the American put.

Mathematical Finance

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1-14. doi: 10.1111/j.1467-9965.1991.tb00007.x

Jarrow, R. A., and Turnbull, S. M. 2000. The intersection of market and credit risk. 

Journal

of Banking & Finance

, 24 (1-2): 271-299. doi: 10.1016/S0378-4266(99)00060-6

Jarrow, R. A., and Yu, F. 2001. Counterparty risk and the pricing of defaultable

securities.

Journal of Finance

, 56 (5): 1765-1799. doi: 10.1111/0022-1082.00389

Jiang, I. M., Liu, Y. H., Feng, Z. Y., and Lai, M. K. 2012. Pricing and hedging strategy for

options with default and liquidity risk.

Asia Pacific Management Review

, 17 (2):

127-144. doi: 10.6126/APMR.2012.17.2.02

Jin, G. 2014. A valuation model of financial derivatives under the influence of multiple

correlated factors with sudden and rare uncertainty. 

Journal of Financial

Studies

, 22 (4): 37-53. doi: 10.6545/JFS.2014.22(4).2

Kapadia, N., and Pu, X. 2012. Limited arbitrage between equity and credit markets.

Journal

of Financial Economics

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Review of Financial Studies

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Klein, P. 1996. Pricing Black-Scholes options with correlated credit risk.

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Banking & Finance

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