Reference: | 陳松男 金融工程學─金融商品創新選擇權理論,91年,華泰書局 陳松男 選擇權與期貨─衍生性商品理論與實務,85年,新陸書局 陳威光 選擇權理論實務與應用,90年 林治源、葉倫君、劉宗聖,國際金融產品與創新實務與應用,寶來金融商品系列叢書,91年 Liao, S. L. and Chou-Wen Wang, 2001, The valuation and hedging strategy of equity-linked notes. Szu-Lang Liao, and Chou-Wen Wang, 2002, “The valuation of reset options with multiple strike resets and reset dates. ”The Journal of Futures Markets, Vol. 23, No. 1, 87–107. Heath, D. C., R. A. Jarrow, and A. J. Morton, 1992, “Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation”, Econometrica 60, 77-105. Ho, T. S. Y., and S. B. Lee, 1986, “Term structure movements and pricing of interest rate claims”, Journal of Finance 41, 1011-1029. Hull, j., and A. White, 1990, “Valuing derivative securities using the explicit finite difference method,” Journal of Financial and Quantitative Analysis, 25, 87-100. Das, Satyajit, 2001, Structured products & hybrid securities. Wiley finance series. Cheng, W. Y., & Zhang, S. 2000. The analytics of reset options. Journal of Derivatives, Fall, 59–71 Gray, S., & Whaley, R. 1997. Valuing S&P 500 bear market warrants with a periodic reset. Journal of Derivatives, Fall, 99–106. Gray, S., & Whaley, R. 1999. Reset put options: Valuation, risk characteristics, and an application. Australian Journal of Management, 24, 1–20. |