Reference: | Cheng, W. Y. and Zhang, S., “The Analytics of Reset Options.” The Journal of Derivatives, Fall 2000, pp.59-71. Cox, John, and Stephen Ross, “The Valuation of Options for Alternative Stochastic Processes.” Journal of Financial Economics, Vol. 3 (1976), pp. 145-166. Derman, E., D. Ergener and I. Kani, “Static Hedging Replication.” The Journal of Derivatives, Summer 1995, pp.78-95. Garman, Mark, and Steven Kolhagen, “Foreign Currency Option Values.” Journal of International Money and Finance, Dec. 1983, pp.231-237. Gary, S., and R. Whaley, “Reset Put Options: Valuation, Risk Characteristics, and an Application.” Australian Journal of Management, 1999, pp 1-20. ----- “Valuing S&P 500 Bear Market Warrants with A Periodic Reset.” The Journal of Derivatives, Fall 1997, pp.99-106. Ho, T. S., Stapleton, R. C. and Subrahmanyam, M. G., “Correlation Risk, Cross-Market Derivatives Products and Portfolio Performance.” Journal of European Financial Management , 1995, pp.105-124. Nelken, I., The Handbook of Exotic Options: Instruments, analysis and applications, Irwin, 1996. Reiner, E., “Quanto Mechanics.” From Black-Scholes to Black Holes, Risk Magazine Ltd., 1992, pp.147-154. Rubinstein, M., “Option for The Undecided.” Risk 4 (4), pp.43. Wilmott, P., J. Dewynne and S. Howison, Option Pricing-Mathematical Models and Computation, Oxford Financial Express, 1993. Zhang, P. Exotic Options, World Scientific Publishing, 1997. 陳松男(2000) 選擇權投資交易策略--教戰守則,華泰書局。 陳威光(1999) “The Valuation and Hedging of Reset Option”,中國財務學會年會。 張佳祥、廖益誠(1999) 「回顧型重設認購權證之金融創新--最低價重設、無限層保護」,寶來金融創新期刊第八期。 warrantnet.com.tw/JFI/article/8/htm/2.htm 張佳祥(1999) 「重設型認購權證之簡介」,寶來金融創新期刊第四期。warrantnet.com.tw/JFI/article/4/htm/9.htm |