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| 研究生： |
林彩蕙 LIN, CAI-HUI |
|---|---|
| 論文名稱： |
外匯期貨選擇權市場之效率性檢定 |
| 指導教授： | 黃達業 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年： | 1992 |
| 畢業學年度： | 80 |
| 語文別： | 中文 |
| 論文頁數： | 60 |
| 相關次數： | 點閱：197 下載：0 |
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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
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。
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