| Reference: | 中文部份：
1. 陳松男，期貨與選擇權：衍生性商品理論與實務，三民書局，85年5月初版
2. 陳松男，金融工程學：金融商品創新、選擇權理論，華泰文化，91年1月初版
3. 陳威光，選擇權：理論、實務與應用，智勝文化，90年1月初版
英文部份：
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4. Breenan, M., and E. Schwartz. “The Valuation of American Put Options.” Journal of Finance, 32(1997), pp.449-462.
5. Broadie, M., and J. Detemple. “American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods.” Review of Financial Studies, 9(1996), pp.1211-1250.
6. Bunch, D.S., and H. Johnson. “A Simple and Numerically Efficient Valuation Method For American Puts Using a Modified Geske-Johnson Approach.” Journal of Finance, 47(1992), pp.809-816.
7. Cox, J. C., S.A. Ross, and M. Rubinstein. “Options Pricing: A Simplified Approach.” Journal of Financial Economics, 7(1979), pp.229-264.
8. Dravid, A., M. Richardson, and T. Sun. “ Pricing Foreign Index Contingent Claims: An Application to Nikkei Put Warrants.” Journal of Derivativs, (1993), pp.33-51.
9. Geske, R., “The Valuation Compound Options.” Journal of Finance Economics , 7(1979), pp.63-81.
10. Geske, R., and H.E. Johnson. “The American Put Valued Analytically.” Journal of Finance, 39(1984), pp.1511-1524.
11. Hull, J., Options, Futures, and Other Derivatives, Prentice-Hall, 2000.
12. Johnson, H. “An Analytical Approximation for the American Put Price.” Journal of Finance and Quantitative Analysis, 18(1983), pp141-148.
13. Ju, N. and Zhong, R., “An Approximate Formula for Pricing American Options.” Journal of Derivatives, (1999), pp.31-40.
14. Les Clewlow and Chris Strickland, Implementing Derivatives Models, John Wiley & Sons, 1998.
15. MacMillan, L.W. “An Analytical Approximation for the American Put Prices.” Advances in Futures and Options Research, 1(1986), pp.119-139.
16. Reiner, E. “Quanto Mechanics.” Risk, (1992), pp59-63. |
