| Reference: | 一．中文部分
1.董夢雲，「金融選擇權」，1997年3月。
2.胡世芳，史綱，「認股權證投資與發行策略」，1997年11月。
3.李存修，盧幸怡，「認購權證發行與交易對標的股票之影響」，亞太地區金融市場之比較、互動與整合學術研討會，1998年11月。
4.李存修暨台大財務金融研究所，「台灣認購權證個案集」，1999年1月。
5.Espen,Gaarder Hung，「選擇權定價公式手冊」，1999年11月。
6.李進生，鍾惠民，吳壽山，「現階段台灣權證發行之問題解析與避險策略之形成檢討與因應」，復華季刊，1999年。
7.謝博恭，「解讀認購權證」，2000年4月。
二．英文部分
1.Gilster , John E., Jr, ”The systematic risk of discrete rebalanced option hedges ”, Journal of Financial &Quantitative Analysis, Dec. 1990, pp.507-516
2.Mel Jameson and Willian Wilhelm, ”Market making in the options markets and the cost of discrete hedge rebalancing”, Journal of Finance, June 1992 , pp.765-780
3.Thomas J George and Francis A.Longstaff, ”Bid-ask spreads and trading activity in the S&P100 index options market”, Journal of Financial &Quantitative Analysis, sep.1993 , pp.381-399
4.Robins, Russell P; Schachter, Barry, ”An analysis of the risk in discretely rebalanced option hedges and delta-based techniques”, Management Science, June 1994, pp.798-808
5.Kalok Chan, Y.Petet Chung,and Herb Johnson, ”The intraday behavior of bid-ask spreads for NYSE stocks and options ”, Journal of Financial &Quantitative Analysis, Sep. 1995 , pp.329-347
6.Geegory J. Kuserk; Peter R. Locke, ”Market making with price limits” The Journal of Future Markets, Sep.1996, pp.677-697
7.Robins, Russell P; Sanders, Ralph W Jr ; Schachter, Barry,”An empirical investigation of variance reduction through non-delta-neutral hedging”, Journal of Derivatives, winter 1996, pp.59-69
8.Reena aggarwal and Pat Conroy, ”Price discovery in initial public offering and the role of the lead underwriter ”, Journal of Finance, Dec. 2000, pp.2903-2923
9.Reena Aggarwal, ”Stabilization activaties by underwriters after initial public offerings, ” Journal of Finance, June 2000, pp.1075-1104
10.Charles Cao, Eric Ghysels, Frank Hatheway”Price discovery without trading: evidence from the Nasdaq pre-opening”, Journal of Finance, June 2000, pp.1339-1366 |
