Black-Scholes與隨機波動模型對波動度預測能力之比較-台指選擇權之實證研究

中文部份 [1]吳伯蒝(2004), 台股多空頭下TXO最適波動性估計方法之比較，淡江大學管理科學研究所未出版碩士論文。 [2]林佩蓉(1999)，Black-Scholes模型下在不同波動性衡量下之表現-股價指數選擇權，國立東華大學企業研究所未出版碩士論文。 [3]莊益源、張鐘霖、王祝三(2003)，波動度模型預測能力的比較-以臺指選擇權為例，台灣金融財務季刊，第四輯第二期，pp.41-63。 [4]許溪南、詹世煌、謝宗祐(2001)，選擇權隱含波動性與標的資產歷史波動性及選擇權參數之關聮性，亞太管理評論，第五卷第四期，pp.385-401。 [5]陳浚泓(2003)，B-S模式與隨機波動性定價模式之比較：台灣股價指數選擇權之實證，國立成功大學企業管理研究所未出版碩士論文。 [6]鄧仲傑(2002)，不同波動模型對權證定價績效衡量之研究-以台灣認購權證為例，南華大學財務管理研究所未出版碩士論文。 英文部份 [1]Bakshi, G., Charles Cao and Zhiwu Chen (1997), Empirical Performance of Alternative Option Pricing Models, Journal of finance,52,pp2003-2049. [2]Brenner, M., (1988), A Simple Formula to Compute the Implied Standard Deviation, Financial Analysts Journal, pp.80-83. [3]Canina, L. & Figlewski, S., (1993), The Informational Content of Implied Volatility, Review of Finaincial Studies, 6, pp659-681. [4]Chiras, D. P. & Manaster, S., (1978), The information content of option prices and a test of market efficiency, Journal of Financial Economics,6,pp213-234. [5]Corrado, C., & Su, T., (1998), An Empirical Test of The Hull & White Option Pricing Model, The Journal of Futures Markets, 18(4), pp.363-378 [6]Heston, S. L.,(1993), A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, Review of Financial studies, 6, pp.327-343. [7]Huang, Y. C.,(2002), Warrants pricing: Stochastic volatility vs. Black-Scholes, Pacific-Basin Finance Journal, 10, pp.393-409. [8]Hull, J. & White, A., (1987),The Pricing of Options on Assets with Stochastic Volatilities, The Journal of Finance, 42, pp.281-300. [9]Hull, J.,(2004),Option, Futures,&Other Derivatives,5 th ed, N.J.:Prentice-Hall [10]Jorion, P.,(1995), Predicting Volatility in the Foreigh Exchange Market, Journal of Finance,50, pp.507-528. [11]Lehar, A., Scheicher, M., and Schittenkopf, C .,(2002),GARCH vs.stochastic volatility:Option pricing and risk management, Journal of Banking & Finance,26, pp323-345. [12]Nandi,S.,(1998),How Important Is the Correlation between Returns and Volatility in a Stochastic Volatility Model? Empirical Evidence from Pricing and Hedging in the S&P500 Index Option Market,Journal of Banking and Finance,22,pp589-610.