301 / 414
臺大管理論叢
第
27
卷第
1
期
301
Journal of Fixed Income
, 4 (4): 37-45. doi: 10.3905/jfi.1995.408126
Longstaff, F. A., and Schwartz, E. S. 2001. Valuing American options by simulation: A
simple least-squares approach.
Review of Financial studies
, 14 (1): 113-147. doi:
10.1093/rfs/14.1.113
Luo, L. M., and Sheu, H. J. 2009. The alternative pricing approach for variable life insurance
incorporating secondary life insurance market.
Chiao Da Management Review
, 29
(1): 79-101.
MacLean, L. C., Zhao, Y., and Ziemba, W. T. 2013. An endogenous volatility approach to
pricing and hedging call options with transaction costs.
Quantitative Finance
, 13
(5): 699-712. doi: 10.1080/14697688.2011.639794
Merton, R. C. 1974. On the pricing of corporate debt: The risk structure of interest rates.
Journal of Finance
, 29 (2): 449-470. doi: 10.2307/2978814
. 1976. Option pricing when underlying stock returns are discontinuous.
Journal of
Financial Economics
, 3 (1-2): 125-144. doi: 10.1016/0304-405X(76)90022-2
Nashikkar, A., Subrahmanyam, M. G., and Mahanti, S. 2011. Liquidity and arbitrage in the
market for credit risk.
Journal of Financial and Quantitative Analysis
, 46 (3):
627-656. doi: 10.1017/S002210901100007X
Pan, G. G., and Wu, T. C. 2008. Pricing vulnerable options.
Journal of Financial Studies
,
16 (1): 131-158. doi: 10.6545/JFS.2008.16(1).5
Poon, S. H., and Stapleton, R. C. 2005.
Asset Pricing in Discrete Time: A Complete Markets
Approach
. Oxford, UK: Oxford University Press.
Raymar, S. B., and Zwecher, M. J. 1997. Monte Carlo estimation of American call options
on the maximum of several stocks.
Journal of Derivatives
, 5 (1): 7-23. doi:
10.3905/jod.1997.407986
Ronn, E. I., and Verma, A. K. 1986. Pricing risk-adjusted deposit insurance: An option-based
model.
Journal of Finance
, 41 (4): 871-895. doi: 10.2307/2328234
Rubinstein, M. 1998. Edgeworth binomial trees.
Journal of Derivatives
, 5 (3): 20-27. doi:
10.3905/jod.1998.407994
Simon, D. P., and Campasano, J. 2014. The VIX futures basis: Evidence and trading
strategies.
Journal of Derivatives
, 21 (3): 54-69. doi: 10.3905/jod.2014.21.3.054
Szu, W. M., Lin, J. B., Ji, K. Y., and Jao, J. Y. 2013. An improved least-square Monte-Carlo
approach for pricing American options.
Journal of Financial Studies
, 21 (2):
61-90. doi: 10.6545/JFS.2013.21(2).3
Tang, C. H., and Yang, S. S. 2012. Valuation of rate of return guarantees under a defined