| dc.contributor.advisor | 黃達業 | zh_TW |
| dc.contributor.author (Authors) | 林彩蕙 | zh_TW |
| dc.contributor.author (Authors) | LIN, CAI-HUI | en_US |
| dc.creator (作者) | 林彩蕙 | zh_TW |
| dc.creator (作者) | LIN, CAI-HUI | en_US |
| dc.date (日期) | 1992 | en_US |
| dc.date (日期) | 1991 | en_US |
| dc.date.accessioned | 2-May-2016 15:14:21 (UTC+8) | - |
| dc.date.available | 2-May-2016 15:14:21 (UTC+8) | - |
| dc.date.issued (上傳時間) | 2-May-2016 15:14:21 (UTC+8) | - |
| dc.identifier (Other Identifiers) | B2002004607 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/89161 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易學系 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論 第一節 研究背景與動機. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1 第二節 研究目的. . . . . . . . . . . . . . . . . . 1 第三節 研究範圍. . . . . . . . . . . . . . . . . . 2 第四節研究限制. . . . . . . . . . . . . . . . . . 2 第二章 理論基礎與文獻探討 第一節 期貨選擇權之概述. . . . . . . . . . . . . . . . . . 4 2. 1.1 期貨選擇權之定義. . . . . . . . . . . . . . . . . . 4 2. 1. 2 期貨選擇權與現貨選擇權之差異. . . . . . . . . . . . . . . . . . 4 2. 1. 3 期貨選擇權發展歷史. . . . . . . . . . . . . . . . . . 5 2. 1. 4 期貨選擇權市場的現況. . . . . . . . . . . . . . . . . . 6 2. 1. 5 外匯期權市場之介紹. . . . . . . . . . . . . . . . . . 9 第二節 期貨選擇權評價理論之發展. . . . . . . . . . . . . . . . . . 10 2.2.1 歐式期權訂價模型. . . . . . . . . . . . . . . . . . . . 10 2.2.2 美式期權訂價模型. . . . . . . . . . . . . . . . . . 14 第三節 期貨選擇權實證之文獻探討. . . . . . . . . . . . . . . . . . 第三章 研究方法 第一節 研究目的. . . . . . . . . . . . . . . . . . 27 第二節 資料來源. . . . . . . . . . . . . . . . . . 27 第三節 實證方法. . . . . . . . . . . . . . . . . . 28 第四節 實證結果. . . . . . . . . . . . . . . . . . 29 第四章 結論. . . . . . . . . . . . . . . . . ..56 參考文獻. . . . . . . . . . . . . . . . . . 57 | zh_TW |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#B2002004607 | en_US |
| dc.title (題名) | 外匯期貨選擇權市場之效率性檢定 | zh_TW |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | 1.Wolf ` A ` "Fundamentals of Commodity Options on Futures" Journal of Futures Markets 2 (1982) : 391 - 408 2.Ramaswamy , k. ` and S. Sundaresan， "The Valuation of Options onFutures Contract" Journal of Finance 40 (Dec 1985) : 1319 - 1340 3.Brenner ` M. G. Courtadon ` and M. Subrahmanyam` "Options on the Spot and Option on Futures" Journal of Finance 40 (Dec 1985) : 1303 -1317 4.Whaley R ` "Valuation of Americam Futures Options : Theory and Empirical Tests" Journal of Finance 41 ( Mar 1986) : 127 -150 5.Robert E. Whaley "On Valuing American Futures Option" , Financial Analysis Journal (May - June 1986) : 49 - 58 6.Ball C.and W. Torous. "Futures Options and the Volatility of Futures . Prices" `Journal of Finance 41 (Sep 1986) : 857 - 870 7.Ogden J. and A. Tucker` "Empirical Tests of the Efficiency of the Currency Futures Options Market" `Journal of Futures Market 7 (Dec 1987) : 695 - 703 8.Baily W. " An Empirical Investigation of the Market for Comex Gold Fu tures Options" Journal of Finance 42 ( Dec 1987) : 1187 - 1194 9.Ogden J . and A. Tucker "The Relative Valuation of American Currency Spot and Futures Options: Theory and Empirical Tests" `Journal of Financial and Quan titative Analysis 23 ( Dec 1988) : 351 - 368 10.Phelim P. Boyle` "The Quality and Timing Option in Futures Contracts" , The Journal of Finance (Mar 1989) : 101 – 113 11.Richard A. Followill and Billy P. Helms` "Put - Call- Futures Parity and Arbitrage Opportunity in the Market for Options on Gold Futures Contracts" , The Journal of Futures Markets 10 (1990) : 339 – 352 12.M. Asay` "A Note on the Design of Commodi ty Option Contracts" , Journal of Futures Markets 2 (Spring 1982) : 1 -7 13.F . Black` "The Pricing of Commodity Contracts" , Journal of Financial Economics 3 (Jan - Mar 1976) : 167 - 179 14.Geske--and H. E . Johnson` "The American Put Valued Analytically" , Journal of Finance 39 (Dec 1984) : 1511 - 1524 15.Merville L. and J. Overdahl` "An Expirical Examination of the T - Bond Futures ( Call) Option Market under Conditions of Constant and Changing Variance Rates" . , Advances in Futures and Options Research 1 (1986) : 89 - 118 16.Alan L. Tucker" Financial Futures Options` and Swaps" West Publishing Co. Ch . 13 " Ch .19 17.DarrellDuffie` "Futures Market" ? 1989 Ch. 8 18.Peter Ritchken` "Options Theory` Strategy` and Application" 19.Copeland Weston` "Finance Theory and Corporate Policy" 3 rd. Ch.8 20.Cornell and Reinganum` "Forward and Futures Prices: Evidence from the Foreign Exchange Markets" , Journal of -Finance (Dec 1981 ) : 1035 - 1046 21. J .Orlin Grabbe "International Banking and Finance" , Ch .11 22. Cox ` Ingersoll and Ross` "The Relation between Forward Price and Futures Price" Journal of Financial Economics 9` (1981) : 321 - 346 23. Philippe J orion and Neal M . Stoughton` "An Empirical Investigation of the Early Exercise Premium of Foreign Currency Options" `The Journal of Futures Markets vol. 9 ` No.5 ( 1989) : 365 - 375 24. Blomeyer and Boyd ` "Empirical Tests of Boundary Conditions for Options on Treasury Bond Futures Contracts" `The Journal of Futures Markets ` vo18` (1988) : 185 - 198 25. Cornell and Reiganum` "Forward and Futures Prices: Evidence from Foreign Exchange ,Market` ,," Joural of Finance " 36` (1981) : 1035 -1045 26. Kamara ` A. , " Issue in Futures Markets: A Surrey` "J ournal of Futures Markests ` 2` (1982) : 261 - 294 27. Maurice.D. Levi` "International Finance" 2rd ` ch3 ... ch9 28. Madura ` "International Financial Management" `2rd` ch3 ... ch4 29. Shapiro ` "International Financial Management" `3rd` ch5 30. Radcliffe` "Investment Concept` Analysis ` and Strategy" , 2rd ` ch15 ... ch16 31. Bruno Solnik ` "International Investments" `ch8`" ch9 中文部分： 1.鄭適薰，”期貨市場特性與避險策略之研究—國際金融期貨之實證分析”，七十九年政大貿研所碩士論文。 2.李存修，”指數期貨、指數期權與指數期貨選擇權”，未出版手稿。 | zh_TW |
