Reference: | 中文文獻
[1] 汪昱頡,(2008)。跳躍風險下馬可夫轉換模型之實證分析,高雄大學統計研究所碩士論文。
[2] 徐于琇,(2008)。跳躍風險下狀態轉換模型下SEM演算法及Gibbs Sampling之參數變異數估計,高雄大學統計研究所碩士論文。
[3] 黃慈慧,(2011)。跳躍相關風險下狀態轉換模型之股價指數實證分析,國立政治大學統計學系碩士論文。
英文文獻
[4] Dempster, A. P., Laird, N. M., and Rubin, D. B. (1977). “Maximum likelihood from incomplete data via the EM algorithm,” Journal of the Royal Statistical Society, Vol. 39, 1-38.
[5] Duan, J. C., Popova, I., and Ritchken, P. (2002). “Option pricing under regime switching,” Quantitative Finance, Vol. 2, 116-132.
[6] Elliott, R. J., Chan, L., and Siu, T. K., (2005). “Option pricing and Esscher transform under regime switching,” Annals of Finance, Vol. 1, 423-432.
[7] Elliott, R. J., and Siu, T. K., (2012). “Option pricing and filtering with hidden Markov-modulated pure-jump processes,” Applied Mathematical Finance, iFirst, 1-25.
[8] Gerber, H., and Shiu, E., (1994). “Option pricing by Esscher transforms,” Transactions of the Society of Actuaries, Vol. 46, 140.
[9] Hamilton, J. D., (1989). “A new approach to the economic analysis of nonstationary time series and the business cycle,” Econometrica, Vol. 57, 357-384.
[10] Hardy, M. R., (2001). “A regime-switching model of long-term stock returns,” North American Actuarial Journal, Vol. 5, 41-53.
[11] Lange, K. A, (1995). “Gradient algorithm locally equivalent to the EM algorithm,” Journal of the Royal Statistical Society, Vol. 57, 425-437.
[12] Liao, S. L., Chang, C. K., Lin, S. K., 2008, "A recursive formula of a participating contract embedding a surrender option," Journal of Financial Studies, Vol. 16, 107-147.
[13] Liew, C. C., and Siu, T. K., (2010). “A hidden Markov regime-switching model for option valuation,” Insurance: Mathematics and Economics, Vol. 47, 374–384.
[14] Lin, S. K., Lin, C. S., and Chou, C. Y., (2010). “A recursive formula of a participating contract embedding a surrender option under regime-switching model with jump risks: evidence from stock indices.” working paper.
[15] Schaller, H., and Norden, S. V., (1997). “Regime switching in stock market returns,” Applied Financial Economics Vol. 7, 177-191.
[16] Schwert, G. W., (1989). “Business Cycles, Financial Crises, and Stock Volatility,” Carnegie Rochester Conference Series on Public Policy, Vol. 31, 83-126.
[17] Turner, C. M., Startz, R., and Nelson, C. R. (1989). “A Markov model of heteroscedasticity, risk and learning in the stock market,” Journal of Financial Economics, Vol. 25, 3-22. |