| 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) | https://ah.lib.nccu.edu.tw/item?item_id=101078 | - |
| 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\r\n第一節 研究背景與動機. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1\r\n第二節 研究目的. . . . . . . . . . . . . . . . . . 1\r\n第三節 研究範圍. . . . . . . . . . . . . . . . . . 2\r\n第四節研究限制. . . . . . . . . . . . . . . . . . 2\r\n第二章 理論基礎與文獻探討\r\n第一節 期貨選擇權之概述. . . . . . . . . . . . . . . . . . 4\r\n2. 1.1 期貨選擇權之定義. . . . . . . . . . . . . . . . . . 4\r\n2. 1. 2 期貨選擇權與現貨選擇權之差異. . . . . . . . . . . . . . . . . . 4\r\n2. 1. 3 期貨選擇權發展歷史. . . . . . . . . . . . . . . . . . 5\r\n2. 1. 4 期貨選擇權市場的現況. . . . . . . . . . . . . . . . . . 6\r\n2. 1. 5 外匯期權市場之介紹. . . . . . . . . . . . . . . . . . 9\r\n第二節 期貨選擇權評價理論之發展. . . . . . . . . . . . . . . . . . 10\r\n2.2.1 歐式期權訂價模型. . . . . . . . . . . . . . . . . . . . 10\r\n2.2.2 美式期權訂價模型. . . . . . . . . . . . . . . . . . 14\r\n第三節 期貨選擇權實證之文獻探討. . . . . . . . . . . . . . . . . .\r\n第三章 研究方法\r\n第一節 研究目的. . . . . . . . . . . . . . . . . . 27\r\n第二節 資料來源. . . . . . . . . . . . . . . . . . 27\r\n第三節 實證方法. . . . . . . . . . . . . . . . . . 28\r\n第四節 實證結果. . . . . . . . . . . . . . . . . . 29\r\n第四章 結論. . . . . . . . . . . . . . . . . ..56\r\n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\r\n2.Ramaswamy , k. ` and S. Sundaresan， \"The Valuation of Options onFutures Contract\" Journal of Finance 40 (Dec 1985) : 1319 - 1340\r\n3.Brenner ` M. G. Courtadon ` and M. Subrahmanyam` \"Options on the Spot and Option on Futures\" Journal of Finance 40 (Dec 1985) : 1303 -1317\r\n4.Whaley R ` \"Valuation of Americam Futures Options : Theory and Empirical Tests\" Journal of Finance 41 ( Mar 1986) : 127 -150\r\n5.Robert E. Whaley \"On Valuing American Futures Option\" , Financial Analysis Journal (May - June 1986) : 49 - 58\r\n6.Ball C.and W. Torous. \"Futures Options and the Volatility of Futures . Prices\" `Journal of Finance 41 (Sep 1986) : 857 - 870\r\n7.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\r\n8.Baily W. \" An Empirical Investigation of the Market for Comex Gold Fu tures Options\" Journal of Finance 42 ( Dec 1987) : 1187 - 1194\r\n9.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\r\n10.Phelim P. Boyle` \"The Quality and Timing Option in Futures Contracts\" , The Journal of Finance (Mar 1989) : 101 – 113\r\n11.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\r\n12.M. Asay` \"A Note on the Design of Commodi ty Option Contracts\" , Journal of Futures Markets 2 (Spring 1982) : 1 -7\r\n13.F . Black` \"The Pricing of Commodity Contracts\" , Journal of Financial Economics 3 (Jan - Mar 1976) : 167 - 179\r\n14.Geske--and H. E . Johnson` \"The American Put Valued Analytically\" , Journal of Finance 39 (Dec 1984) : 1511 - 1524\r\n15.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\r\n16.Alan L. Tucker\" Financial Futures Options` and Swaps\" West Publishing Co. Ch . 13 \" Ch .19\r\n17.DarrellDuffie` \"Futures Market\" ? 1989 Ch. 8\r\n18.Peter Ritchken` \"Options Theory` Strategy` and Application\"\r\n19.Copeland Weston` \"Finance Theory and Corporate Policy\" 3 rd. Ch.8\r\n20.Cornell and Reinganum` \"Forward and Futures Prices: Evidence from the Foreign Exchange Markets\" , Journal of -Finance (Dec 1981 ) : 1035 - 1046\r\n21. J .Orlin Grabbe \"International Banking and Finance\" , Ch .11 \r\n22. Cox ` Ingersoll and Ross` \"The Relation between Forward Price and Futures Price\" Journal of Financial Economics 9` (1981) : 321 - 346\r\n23. 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\r\n24. Blomeyer and Boyd ` \"Empirical Tests of Boundary Conditions for Options on Treasury Bond Futures Contracts\" `The Journal of Futures Markets ` vo18` (1988) : 185 - 198\r\n25. Cornell and Reiganum` \"Forward and Futures Prices: Evidence from Foreign Exchange ,Market` ,,\" Joural of Finance \" 36` (1981) : 1035 -1045\r\n26. Kamara ` A. , \" Issue in Futures Markets: A Surrey` \"J ournal of Futures Markests ` 2` (1982) : 261 - 294\r\n27. Maurice.D. Levi` \"International Finance\" 2rd ` ch3 ... ch9\r\n28. Madura ` \"International Financial Management\" `2rd` ch3 ... ch4\r\n29. Shapiro ` \"International Financial Management\" `3rd` ch5\r\n30. Radcliffe` \"Investment Concept` Analysis ` and Strategy\" , 2rd ` ch15 ... ch16\r\n31. Bruno Solnik ` \"International Investments\" `ch8`\" ch9 \r\n\r\n中文部分：\r\n1.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。\r\n2.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 |
