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    题名: 外匯選擇權定價模式之實證研究
    作者: 李宗愷
    贡献者: 林祖嘉
    李宗愷
    日期: 1990
    1989
    上传时间: 2016-05-03 14:12:59 (UTC+8)
    參考文獻: 參考文獻
    一、中文部份
    1.于政長，選擇權市場投資與操作策略。
    2.李存修，選擇權系列，新經濟周刊，民國77年。
    3.吳紿東，外匯選擇權及其運用策略之研究，中國國際商業銀行經濟研究處，民國78年。

    二、英文部份
    REFERENCE
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    Adams,P.D.and Wyatt,S.B. (1989),"On The Pricing of European and American Foreign Currency Options A Clarification," Jouranl of International Money and Finance, PP305-311.
    Aliber, Robert Z. (ed), The Handbook of International Financial Management. Homewood, Illinois: Dow Jones-Irwin ,1989.
    Ball,C. A. and Torous,W. N.(1985),"On Jumps in Common Stock Price and Their Impact on Call Option Pricing" The Journal of Finance, PP155-173.
    Barone-Adesi,G. and Whalley R. E. (987), "Effective Analytic Approximation of American Option Values" The Journal of Finance, PP301-320.
    Becker, S. (1981) , "Standard Deviations Implies in Option Price as Predictors of Future Stock Price Variability," Journal of Banking and Finance,PP363-381.
    Black,F. and Scholes, M. (1973), "The Pricing of Options and Coporate Liabilities," Journal of Political Economy, PP637-653.
    Black,F. (1976), "The Pricing of Commodity Contracts Journal of Financial Economics, PP167-179.
    Bodurtha, T. N. and Courtadon, G. R. (1987) , "Test of American Option Pricing Model on The Foreign Currency Options Market," Journal of Financial Quantitative Analysis, PP153-167.
    Bodurtha,T. N. and Courtadon,G. R."The Pricing of Foreign Currency Options," Monograph Series in Finance and Economics.
    Boyle, P. P. (1977) , "Options: A Monte Carlo Approach," Journal of Financial Economics, PP323-338.
    Brennan,M. J. and Schwartz,E. S. (1977), "The Valuation of American Put Options" The Journal of Finance,PP449-463.
    Buttler,H. J. (1989) ,"An Expository Note on the Valuation of Foreign Exchange Options," Jouranl of International Money and Finance, PP295-304.
    Chen,D. M. and Welch,R. L. (1989)," The Relative Miss-pricing of American Calls on The CBOE,".
    Cox,J. C. and Ross,S. A.(1976)," The Valuation of Options for Alternative Stochastic Processes,"Journal of Financial Economics,PP145-166.
    Cox,J. C. and Ross,S. A. (1976),"A Survey of Some New Results In Financial Option Pricing Theory," The Journal of Finance, PP383-401.
    Cox,J. C. and Ross,S. A. and Rubinstein,M. (1979), "Option Pricing :A Simplified Approach," Journal of Financial Economics, PP229-263.
    Cox,J. C. and Rubinstein,M., Options Market. New Jersey: Prentice-Hall,INC,1985.
    Finucane, T. J. (1989), "Black-Scholes Approximatoins of Call Option Prices with Stochastic Volatilities:A Note," Journal of Financial Quantitative Analysis, PP527-533.
    Garman,M. B .and Kohlhagen,S. W. (1983), "Foreign Currency Option Values," Journal of International Money and Finance, PP231-237.
    Geske,R. (1979), "The Valuation of Compound Options " Journal of Financial Economics, PP63-81.
    Geske,R. and Roll,R. (1984),"On Valuing American Call Options with the Black-Scholes European Formula,"The Journal of Finance, PP443-455.
    Geske,R. and H. E. Johnson(1984),"The American Put Option Valued Analytically," The Journal of Finance, PP1511-1523.
    Geske,r. and Shastri,K. (1985), "Valuation by Approximation :A Comparison of Alternative Option Valuation Techniques," Journal of Financial Quantitative Analysis, PP45-71.
    Giddy, I. H. (1983) , "Foreign Exchange Options," Journa1 of Future Market, PP143-166.
    Grabbe.J. O. (1983), "The Pricing of Call and Put Options on Foreign Exchange," Journal of International Money and Finance, PP239-253.
    Grabbe,J. O. "Foreign Currency Options: A Survey,"Recemt Developments in Internatonal Banking and Finance.
    Grabbe,J. O, International Financial Markets. New York: Elsevier Science Publishing, 1986.
    Hull,J. and White,A. (1987), "The Pricing of Options on Assets with Stochastic Volstilities," The Journal of Finance PP281-299.
    Johnson, H. and Shanno, D. (1987) , "Option Pricing when Variance is Change," Journal of Financial Quantitative Analysis JUNE,PP143-151.
    Latane,H. A. and Rendleman,R. J. Jr. (1976), "Standard Deviations of Stock Price Ratios Imiplied in Option Prices," The Journal of Finance, PP369-381.
    Levi, Maurice, International Financial : Financial Management and the International Economy.New York:Mcgraw-Hill Book Company,1983.
    Macbeth,J. D. and Merville,L. J. (1979), "An Empirical Examination of The Black-Scholes Call Option Pricing Model," The Journal of Finance, PPl173-1186.
    Macbeth,J. D. and Merville,L. J. (1980),"Test of The Black-Scholes and Cox Call Option Valuation Models" The Journal of Finance, PP285-303.
    Manaster,S. and Koehler,G. (1982), "The Calculation of Implied Variances from the Black-Scholes Model:A Note," The Journal of Finance, PP227-229.
    Merton, R. C. (1973) , "Theory of Rational Option Pricing" Bell Journal of Economics and Management Science, PP141-181.
    Merton,R. C. (1976), "Option Pricing When Underlying tock Returns are Dis-Continuous," Journal of Financial Economics, PP125-144.
    Rendleman, R. J. Jr. and Bartter, B. J. (1979) , "Two-State Option Pricing," The Journal of Finance,PP1093-1109.
    Ritchken,Peter, Option-Theory, Strategy and Applications ,Illionis : Foresman and Company,1987.
    Rogalski,R. J. and Vinso,J. D." Empirical Properties of Foreign Exchange Rates," PP69-79.
    Rubinstein,M. "Displaced Diffusion Option Pricing (1983)," The Journal of Finance, PP213-217.
    Rubinstein,M. (1985)," Noparametric Tests of Alternative Option Pricing Modesl Using All Reported Trades and Quotes on The 30 Most Active CBOE Option Class from August 23 1976 Through August 31 1978" The Journal of Finance, PP455-481.
    Shastri. K. and Tandon, K. (1986) ,"On The Use of European Models to Pricing American Options on Foreign Currency," Journal of Future Market, PP93-108.
    Shastri,K. and Tandon,K. (1986), "Valuation of Foreign Currency Options: Some Empirical Tests," Journal of Financial Quantitative Analysis, PP145-159.
    Smith,C. W. Jr. (1976), "Option Pricing-A Review," Journal of Political Economy,PP3-51.
    Sterk, W. (1982), "Tests of Two Models for Valuing Call Options on Stock with Dividends," The Journal of Finance, PP1229-1237.
    Sterk. W. (1983), "Comparative Performance of the Black-Scholes and Roll-Geske Whaley Option Pricing Models," Journal of Financial Quantitative Analysis,PP345-353.
    Welch, R. L. and Chen, D. M. (1987) , "On The Properties of The Valuation Formula for an Unprotected American Call Option with Known Dividends and The Computation
    of its Implied Standard Deviation," Advances in Future and Options Research, PP237-256.
    Whaley,R. E. (1982), "Valuation of American Call Options on Divedens-Paying Stock," Journal of Financial Economics, PP29-58.
    Whaley,R. E. (1982), "On The Valuation of American Call Options on Stocks with Known Dividends," Journal of Financial Economics, PP207-211.
    Whaley,R. E. (1986), "Valuation of American Futures Options : Theory and Empirical Tests," The Journal of Finance, PP127-149.
    Wiggins,J. B. (1987), "Option Vslues Under Stochastic Volatility -Theory and Empiricial Estimates,"Journal of Financial Economics, PP351-372.
    Wilson,W. W. and Fung,H. G. (1990), "Information Content of Volatilities Implies by Optopn Premiums in Ggain Futures Markets," Journal of Future Market,PP13-27.
    Yang,H. C. (1985), "A Note on Currence Option Pricing Models," Journal of Business Finance and Accounding,PP429-437.
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002005418
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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