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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/90148


    Title: 選擇權訂價模式應用於衡量產險公司權益價值及破產機率之研究
    Authors: 陳俊男
    Contributors: 林炯垚
    陳俊男
    Date: 1990
    1989
    Issue Date: 2016-05-03 14:16:03 (UTC+8)
    Reference: 參考書目
    中文部分
    1.沈森永撰,可轉換公司債之評價,台北:台灣工業技術學院工程技術研究所未出版論文,民國七十七年五月。
    2.吳漢雄著,微分方程式與解析,台北:全華科技圖書公司,民國七十一年初版。
    3.林炯垚著,財務管理理論與實務,台北華泰書局,民國七十九年初版。
    4.林茂文著,時間數列分析與預測,台北:華泰書局,民國七十五年再版。
    5.施文森編,保險法立法原則之探討,台北:三民書局,民國七十八年初版。
    6.施文森著,保險法論文第二集,台北:三民書局,民國七十四年增訂三版。
    7.保險年鑑,中央再保險公司、台北市產物保險商業同業公會,台北市人壽保險商業同業公會及財團法人保險事業發展中心共同編印。
    8.袁宗蔚著,保險學,台北:三民書局,民國七十五年廿六版。
    9.陳錄山著,微分方程及邊界值問題,台北:美亞書局,民國六十二年初版。
    10.黃耀權著,「股票選擇權交易(Option)」,台灣證券季刊,民國75年10月。
    11.飛田武幸著,蔡聰明譯,布朗運動論,台北:曉園書局,民國七十六年初版。
    12.陽肇昌著,保險之運用經營與管理,台中:逢甲大學銀保學會,民國七十六年出版。
    13.鄒政下著,保險會計概要,台北:保險事業發展中心,民國七十七年再版。
    14.楊維哲著,機率論,台北:正中書局,民國六十九年初版。
    15.鄭濟世著,保險業之監督與管理,台北:保險事業發展中心,民國七十六年出版。
    16.謝安田著,企業研究方法,台北自印,民國七十二年出版。
    17.顏月珠著,商用統計學,台北:三民書局,民國七十七年修訂四版。

    英文部分:
    1.Black , F., and M. Scholes, "The Pricing of Options and Corporate Liabilities" .Journal of Political Economy, HayIJune,1973; PP.637~659。
    2.Boyle , Phelim P. , "Options : A Monte Carlo Approach". Journal of Financial Economics 4, 1977: PP.323~338。
    3.Bookstaber , Richard H. , Option Pricing and Strategies in Investment, Mass.: Addison-Wesley Publishing: 1980。
    4.Boyle, Phe1im P. , and Edauardo S. Schwartz, "Equi1brium Prices of Guarantees Under Equity-Linked Contracts" Journal of Risk and Insurance, Dec. 1977; PP. 639~680。
    5.Brea1ey , Richard A. , and Stewart C. Myers, Principles of Corporate Finance, N.Y.: HcGraw-Hill Book Company; 1988。
    6. Brennan, M. J.,?"The Pricing of Contigent Claims in Discrete Time Models ". Journal of Finance, March 1979; PP.53~68。
    7.Brennan , M. J., and Eduardo S. Schwartz, "The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee". Journal of Financial Economics 3, 1976; PP .195~213。
    8.Brenner , Henachem, Option Pricing ,D. C.: Heath and Company, 1983。
    9.Butler , J. S., and Barry Schachter, . Unbiased Estimation of the Black/Scholes Formula ". Journal of Financial Economics 15, 1986; PP.341~357。
    10.Chen, Nai-fu, and Herb Johnson, "Hedging Options". Journal of Financial Economics 14 , 1985; PP.317~321。
    11.Copeland , Thomas. E. , and J. Fred Weston, Financial Theory and Corporate policy, Mass: Addison-Wesley Publishing; 1983。
    12.Cox, J., and S. Ross,"The Valuation of Options for Alternative Stochastic Processes". Journal of Financial Economics 3, 1976; PP.341~357。
    13.Cox, J., S., Ross, and M. Rubinstein, "Option Pricing : A Simple Approach". Journal of Financial Economics 7, 1979: PP. 229~263。
    14.Cox, John C. ,and Mark Rubinstein,Options Market, Englewood Cliffs; N.J.: Prentice-Hall, 1985。
    15.Crow , Edwin L., and Kunio Shimizu, Lognormal Distribution Theory and Applications ,N.Y.: Marcel Dekker, 1988。
    16. Doherty , N., and J. Garven, . Price Regulation in Property-Liability Insurance: A Contingent-Claims Approachh .Journal of Finance,Dec.1986;PP.1031~1050。
    17.Fama , Eugen F. , Foundation of Finance, N.Y.,Basic Book, 1976。
    18. Friedman , A., Stochastic Differential Equations and Applications,N.Y.: Academic Press, 1975。
    19.Galai, Dan, and Ronald W. Masulis, "The Option Pricing Model and the Risk Factor of Stock". Journal of Financial Economics 3, 1976: PP.53~81。
    20. Gatto , Mary Ann , Robert Geske, Robert Litzen-berger, and Howard Sosin , "Mutual Fund Insurance", Journal of Financial Economics 8 , 1980; PP.283l~317。
    21.Geske Robert , "The Pricing of Options with Stochastic Dividend Yield" ,Journal of Finance,May 1979a: PP.617~625 。
    22. _________. The Valuation of Compound options" .Journal of Financial Economics 7, 1979b; PP.63~81。
    23.__________ . "A Note on an Analytical Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends".Journal of Financial Economics 7, 1979c; PP.375~380 。
    24.Hammer,Jerry A., " On Biases Reported in Studies of the Black-Scholes Option Pricing Model".Journal of Economics and Business,May 1989; PP.153~169。
    25. Hossack , I.B., J.H . Pollard, and B.Zehnwirth, Introductory Statistics with Application in General Insurance(N.Y.: Cambridge Univesity Press); 1983 。
    26.Hull, Cynthia Van, "Option Pricing Method: An overview". Insurance Mathematics and Economics 7.1988; PP.139~152。
    27.Hull,J., and A. Vhite, "The Pricing Options on Assets with Stochastic Volatilities". Journal of Finance, June 1987; PP.281~299。
    28. Ikeda,Nobuyuki, and Shinzo Yatanable,Stochastic Differential Equation and Diffusion Process; N. Y.: North-Holland Publishing; 1981。
    29.Jensen , Michael C., and C.Y. Smith Jr., The Modern Theory of Corporate Finance, 台北: 雙葉書局翻印, 1984。
    30. Johnson, H, "Options on the Maximum or the Minimum of Serveral Assets" . Journal of Financial and Quantitative Analysis, Sep. 1987; PP.211~283。
    31.Johnson. H. and D. Shanno, "Option Pricing when the Variance is Changing. " Journal of Financial and Quantitative Analysis 2, 1987; PP.143~151。
    32. Johnson, H. and R. Stulz, "The Pricing of Options with Default Risk". Journal of Finance, June 1987; PP.267~279。
    33. Jones, E. Philip "Option Arbitrage and Strategy with Large Price Change". Journal of Financial Economics 13, 1984; PP.91~113。
    34.Leland, H. "Option Pricing and Replication with Transactions Costs . "Journal of Finance, Dec. 1985 ; PP .1283~1301。
    35.Levy, H. "Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach. " Journal of Finance. Sep. 1985; PP.1197~1217。
    36.Lorie. James H ., and Mary T. Hamilton, The Stock Market: Theories and Evidence, 台北: 華泰書局翻印, 1985。
    37. Macbeth, James D. and Larry J. Herville, "An Empirical Examinationof the Black-Scholes Call Option pricing Model".Journal of Finance,Dec. 1979 ; PP.1173~1186。
    38. Margrabe, V., "The Value of Option to Exchange One Asset for Another". Journal of Finance, March 1918; PP.111~185。
    39.Merton , R., "Option Pricing When Underlying Stock Returns Are Discontinuous". Journal of Financial Economics 3, 1976; PP.125~144。
    40. ________. "On the Pricing of Contigent Claims and the Modigliani-Miller Theorem". Journal of Financial Economics 5, 1911; PP.241~249。
    41.Page, F. and A. Sanders, "A General Deviation of the Jump Process option Pricing Formula" .Journal of Financial and Quantitative Analysis 21. 1986; PP.431~446。
    42.Perrakis, S . "Option Bounds in Discrete Time: Extension and the Pricing of the American Put".Journal of Business 1 1986; PP.119~141。
    43.Perrakis, S., and P. Ryan,"Option Pricing Bounds in Discrete Time"。Journal of Finance, June 1984, PP. 519~521。
    44. Rendleman, R. J., and Bartter B. J., "Two-Stage Option Pricing". Journal of Finance, Dec. 1919;PP .1093~1110。
    45.Ritchken. P., "On Option Pricing Bound". Journal of Finance. Sep. 1985;PP.1219~1233 。
    46.Ritchken, Peter, Options Theory, Strategy, and Application, U.S.A: Scott. Foresman and Company, 1987。
    47.Roll, R. "An Analytic Formula for Unprotected American Call Options on Stocks with Known Dividends" .Journal of Financial Economics 7, 1919; PP.375~380。
    48.Ronn, Ehud I., and Avinask K.Verma, "Pricing Risk-Adjusted Deposit Insurance:An Option-Based Model." Journal of Finance, Sep. 1986; PP.315-380。
    49. Ross, She I don M.. Stochastic Process, 台北:開發書局翻印, 1983。
    50. Sharpe. Yilliam F., Investment, Englewood Cliffs, N. J. :Prentice-Hall, 1981。
    51. Scott , Louis O ., "Option Pricing when the Variance Changes Randomly : Theory, Estimation ,and an Application". Journal of Financial Quantitative Analysis, Dec. 1981; PP.419~438。
    52.Smith, C., "Option Pricing Review". Journal of Financial Economics, Jan./March 1916; PP.3~51。
    53.Smith , C. , " Applications of Options Pricing Analysis", in : M. C. Jensen and C.Y. Smith, ed.,The Modern Theory of Corporate Finance (台北:雙葉書局翻印), 1984, PP. 288~329。
    54.Sprenkle. C. H ., "Warrant Prices as Indicators of Expectations and Preferences", in : P. Cootner,ed.,The Random Character of Stock Market Prices( MIT Press, Cambridge, Mass.) PP.412~474。
    55.Stultz, R.,"Options on the Minimum or the Maximum of Two Risky Assets: Analysis and Applications".Journal of Financial Economics 10, 1982;PP .161~185。
    56.Weaver , Wallace Quentin , Jr., " A Contingent Claims Analysis of the Equity Interest in Property-Casualty Insurance Companies ", Ph. D. dissertation,University of Southern California, 1979。
    57.Weaver, W.O., Jr., Findlay M.C., III. and Lilly C.L., III. "Insurance Company Operations- Policy Implications of an Option Pricing Approach."Journal of Insurance Issues and Practices. June 1981 ;PP.29~47。
    58. _________. "Insurance Company Operations-- An Application of Options pricing Theory". Journal of Insurance Issues and Practices, Jan. 1982; PP.41~59。
    59.Wiggins , J. "Option Values Under Stochastic Volatilities: Theory and Emperical Estimation".Journal of Financial Economics 19, 1987; PP.351~312。
    60.Whaley, R., "On the Valuation of American Call Options on Stocks with Known Dividends". Journal of Financial Economics 9, 1981; PP.201~211。
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002005301
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系 ] 學位論文

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