| Reference: | 中文部分
1.吳秉寰，1999，「認購權證最適避險策略之研究」，國立政治大學金融研究所碩士論文。
2.陳威光，2000，「選擇權：理論、實務與應用」，智勝出版社。
3.謝文傑，1998，「認購權證delta避險與minimax避險績效之比較」，私立銘傳大學金融研究所碩士論文。
英文部分
1.Black, F., and M. Scholes, 1972 ”The Valuation of Option Contracts and a test of Market Efficiency” , Journal of Finance 27, pp.399-417.
2.Black, F., and M. Scholes, 1973 ”The Pricing of options and corporate liabilities” , Journal of Political Economics 81, pp.637-654.
3.Boyle, P.P., and D. Emanual, 1980 ”Discrete Adjusted Option Hedges” , Journal of Financial Economics 8, pp.259-282.
4.Dowd, K., 1998 ”Beyond Value at Risk”，John Wiley & Sons.
5.Etzioni, S. E., 1986 ”Rebalancing disciplines for portfolio insurance”, Journal of Portfolio Management, fall, pp.59-62.
6.Galai, Dan., 1983 ”The Components of the Return from Hedging Options against Stocks”, Journal of Business, Jan., pp.45-54.
7.Hodge, S. D. and A. Neuberger, 1989 ”Optimal replication of contingent claims under transaction costs”, Review of Future Markets 8, pp.222-239.
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9.Howe, M. A., B. Rustem, and M.J.P. Selby, 1996 ”Multi-period minimax hedging strategies”, European Journal of Operations Research, 93, pp.185-204.
10.Hull, John, 1997, “Options, Futures, and other Derivatives “, edition, chapter 14.
11.Leland, H. E., 1985 ”Option pricing and replication with transaction costs”, Journal of Finance 40, pp.1283-1301.
12.Merton, R.C., 1973 “Theory of Ration Option Pricing”, Bell Journal of Economics and Management Science, Vol. 4, pp.141-183.
13.Whalley, A. E. and P. Wilmott, 1994 ”Hedging with an edge”, Risk, Oct. |
