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121.
The present study examines the impact of first‐time introduction of warrants by third party issuers on the trading behaviour of a sample of underlying stocks listed on the Australian Stock Exchange. We investigate the price, liquidity and volatility impact of underlying stocks after warrant issuance and find considerable differences to those found for option listings. Significant negative abnormal returns on both the announcement and listing date of derivative warrants are reported, followed by a negative price drift. Relative trading volume and price volatility of underlying stocks are found to be significantly higher post‐warrant listing. Interestingly, we find that warrant holders are unable to realize gains for the majority of trading days when they are alive, consistent with the view that banks trade profitability from their issue. 相似文献
122.
The canonical valuation, proposed by Stutzer [1996. Journal of Finance 51, 1633–1652], is a nonparametric option pricing approach for valuing European-style contingent claims. This paper derives risk-neutral dynamic hedge formulae for European call and put options under canonical valuation that obey put–call parity. Further, the paper documents the error-metrics of the canonical hedge ratio and analyzes the effectiveness of discrete dynamic hedging in a stochastic volatility environment. The results suggest that the nonparametric hedge formula generates hedges that are substantially unbiased and is capable of producing hedging outcomes that are superior to those produced by Black and Scholes [1973. Journal of Political Economy 81, 637–654] delta hedging. 相似文献
123.
Sean Pinder 《International Review of Financial Analysis》2003,12(5):563-577
This paper examines the determinants of bid-ask spreads in the Australian Options Market before and after it switched from a quote-driven floor-traded market to an order-driven screen-traded market. This study reports that both put and call option bid-ask spreads are positively related to the option's value, its remaining term-to-maturity, its absolute hedge ratio and the volatility of returns from the underlying asset and negatively related to the level of trading activity in that option series. The study also reports that spreads are generally less when market makers are obliged to maintain continuous quotes in the market. The paper also finds that following the change in trading regime, both call and put option spreads became more sensitive to the absolute value of the option's delta. This finding is consistent with previous theoretical and empirical work from equities markets that has suggested that a switch to an electronic trading regime results in an increase in the adverse selection component of the bid-ask spread. There is also some limited evidence that suggests that the switch to electronic trading resulted in call option spreads being less sensitive to the return volatility of the underlying asset but more sensitive to the option's price. 相似文献
124.
Financial markets embed expectations of central bank policy into asset prices. This paper compares two approaches that extract a probability density of market beliefs. The first is a simulated moments estimator for option volatilities described in [Mizrach, B., 2002. When Did the Smart Money in Enron Lose Its’ Smirk? Rutgers University Working Paper #2002-24]; the second is a new approach developed by [Haas, M., Mittnik, S., Paolella, M.S., 2004a. Mixed normal conditional heteroskedasticity, J. Financial Econ. 2, 211–250] for fat-tailed conditionally heteroskedastic time series. In an application to the 1992–1993 European Exchange Rate Mechanism crises, we find that both the options and the underlying exchange rates provide useful information for policy makers. 相似文献
125.
This paper is concerned with arbitrage opportunities in the futures and futures option contracts traded on the Sydney Futures
Exchange (SFE) within a put-call-futures-parity (PCFP) framework. Tick-by-tick transaction price data are employed so that
the futures contracts, the call futures options and the put futures options can be matched within a one-minute interval. This
paper also takes into account the realistic transaction costs that an arbitrager has to incur, including the implicit bid-ask
spread. A thorough ex post analysis is first carried out. The results reveal a significant number of violations of the PCFP
in the sample. Ex ante tests are then conducted whereby ex post profitable arbitrage strategies, signified by the matched
trios of futures, put and call contracts, are executed with lags up to 3 min. The ex ante results are similar to the ex post
results. However, further analysis reveals that the exploitability of the identified arbitrage opportunities is very limited
due to the small trading volumes of the futures and options contracts. Thus, we conclude that there is no strong evidence
against the arbitrage efficiency between the SPI index futures and options markets in Australia.
相似文献
126.
Hans Buehler 《Finance and Stochastics》2006,10(2):178-203
We introduce a general approach to model a joint market of stock price and a term structure of variance swaps in an HJM-type framework. In such a model, strongly volatility-dependent contracts can be priced and risk-managed in terms of the observed stock and variance swap prices. To this end, we introduce equity forward variance term structure models and derive the respective HJM-type arbitrage conditions. We then discuss finite-dimensional Markovian representations of the fixed time-to-maturity forward variance swap curve and derive consistency results for both the standard case and for variance curves with values in a Hilbert space. For the latter, our representation also ensures non-negativity of the process. We then give a few examples of such variance curve functionals and briefly discuss completeness and hedging in such models. As a further application, we show that the speed of mean reversion in some standard stochastic volatility models should be kept constant when the model is recalibrated. 相似文献
127.
Bruce Mizrach 《Review of Quantitative Finance and Accounting》2006,27(4):365-382
The Enron Corporation went from a $65 billion dollar market capitalization to bankruptcy in just 16 months. Using statistical
techniques for extracting the implied probability distributions built into option prices, I examine the market’s expectation
of Enron’s risk of collapse. I find that the options market remained far too optimistic about the stock until just weeks before
their bankruptcy filing.
I thank Oded Palmon and an anonymous referee for helpful comments.
JEL Classification G13 · G14 相似文献
128.
全球股指期货与期权市场的发展动向及启示 总被引:9,自引:0,他引:9
Yang Shenggang Wang Chende 《国际金融研究》2006,(11)
本文通过对近年来全球股指期货及期权场内交易发展态势及动向分析,指出全球股指期货及期权呈现出交易量稳居各类产品之首、交易高度集中于几家交易所的几种产品、中国概念股指备受关注、创新步伐不断加快等四大趋势,启示我们适时推出股指期货,研究股指期权,不但可以拓展期货市场发展空间,推动境内资本市场的健康发展,建立完善的股指市场体系,而且是股票类衍生品创新的基础。 相似文献
129.
The main purpose of the study is to explore the dynamic relationship among the TAIEX spot, futures, and options markets by
proposing an innovative multivariable GARCH-M MSKST (Multivariate Skewed-Student distribution) model. In addition to the considerable
feedback effects of these three markets in terms of return transmissions, a significant bidirectional relationship is also
found in volatility transmissions between futures and spot markets, and unidirectional spillover occurs from futures to options
markets. Specifically, futures are found to exert the most influence on spot and options, and play an important role in disclosing
information and pricing discovery to the other two markets. Comparing the magnitude of the effect the positive and negative
basis has on spot prices, it is evident that positive basis has a greater impact on the spot market than negative basis does.
Of interest, our study shows that positive basis has even more effect than negative basis does on the conditional variance
of return on spot and futures.
相似文献
Kai-Li WangEmail: |
130.