| Reference: | 一、中文部分
1.江政憲，「波動性變動選擇權評價模型定價績效之實證比較」，銘傳大學金融研究所碩士論文，1999年6月。
2.吳勉賢，「蒙地卡羅模擬法在動態隨機變異模型上的應用」，國立中正大學財務金融研究所碩士論文，2000年6月。
3.許博翔，「隨機波動性下之障礙選擇權的評價分析」，國立中央大學財務管理研究所碩士論文，2000年6月。
4.陳威光，選擇權－理論，實務與應用，2001年1月初版，智勝出版社。
5.曹金泉，「隨機波動度下選擇權評價理論的應用－以台灣認購權證為例」，國立政治大學金融研究所碩士論文，1999年6月。
6.傅信彰，「結合隨機波動性和跳躍過程之二項式選擇權定價模型」，國立中央大學財務管理研究所碩士論文，1999年6月。
二、英文部分
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12.Hull, John. Options, Futures, and Other Derivatives. 3th ed., N.J.:Prentice-Hall.
13.Merton, R. C. “Theory of Rational Option Pricing.” Bell Journal of Economics and Management Science, Vol. 4, No. 1 (1973), pp. 141-183.
14.Nelson, D. B. and K. Ramaswamy. “Simple Binomial Processes as Diffusion Approximations in Financial Models.” The Review of Financial Studies, Vol. 3 (1990), pp. 393-430.
15.Reiner, E. and M. Rubinstein. “Breaking Down the Barriers.” Risk, Vol. 4, No. 8 (1991), pp. 28-35.
16.Ritchken, Peter and Rob Trevor. “Pricing Options under Generalized GARCH and Stochastic Volatility Processes.” Journal of Finance, Vol. 54, No. 1 (1999), pp. 377-402.
17.Ritchken, Peter, “On Pricing Barrier Option.” The Journal of Derivatives, Vol.3 (Winter 1996 ), pp. 19-28.
18.Stein, E. M. and J. C. Stein. “Stock Price Distributions with Stochastic Stochastic Volatility: An Analytic Approach.” The Review of Financial Studies, Vol. 4 (1991), pp. 727-752.
19.Wiggins, J.B. “Option Values under Stochastic Volatility: Theory and Empirical Evidence.” Journal of Financial Economics, Vol. 19 (1987), pp. 351-372. |
