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Closed-form valuations of basket options using a multivariate normal inverse Gaussian model

Wu, Yang-Che; Liao, Szu-Lang; Shyu, So-De - In: Insurance: Mathematics and Economics 44 (2009) 1, pp. 95-102

This paper uses a multivariate normal inverse Gaussian model to develop closed-form pricing formulas for both geometric and arithmetic basket options. For geometric basket options, an exact analytical solution is possible; for arithmetic basket options, the formula is an approximation. The model...

Persistent link: https://www.econbiz.de/10004973706

Portfolio allocation with dynamic risk preferences via reinforcement learning

Chen, Ting-Fu; Kuang, Xian-Ji; Liao, Szu-Lang; Lin, … - In: Computational economics 64 (2024) 4, pp. 2033-2052

Persistent link: https://www.econbiz.de/10015143990

Product market competition, R&D investment choice, and real earnings management

Hsiao, Hsiao-Fen; Liao, Szu-Lang; Su, Chi-Wei; Sung, … - In: International journal of accounting and information … 25 (2017) 3, pp. 296-312

Persistent link: https://www.econbiz.de/10011777118

The information transmission effect and asset prices : evidence from the China B-share discount

Liao, Szu-Lang; Tsai, Tsung-Ying - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 73-85

Persistent link: https://www.econbiz.de/10011603390

State-dependent jump risks for American gold futures option pricing

Lian, Yu-Min; Liao, Szu-Lang; Chen, Jun-Home - In: The North American journal of economics and finance : a … 33 (2015), pp. 115-133

Persistent link: https://www.econbiz.de/10011534881

Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy

Lian, Yu-Min; Chen, Jun-Home; Liao, Szu-Lang - In: Finance research letters 16 (2016), pp. 208-219

Persistent link: https://www.econbiz.de/10011656179

Cojump risks and their impacts on option pricing

Lian, Yu-Min; Chen, Jun-Home; Liao, Szu-Lang - In: The quarterly review of economics and finance : journal … 79 (2021), pp. 399-410

Persistent link: https://www.econbiz.de/10012655076

Excess volatility and market efficiency in government bond markets : the ASEAN-5 context

Tang, Kin Boon; Shao Jye Wong; Lin, Shih-kuei; Liao, … - In: The journal of asset management 21 (2020) 2, pp. 154-165

Persistent link: https://www.econbiz.de/10012292759

Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes

Chen, Jun-Home; Lian, Yu-Min; Liao, Szu-Lang - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013449359

Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics

Lian, Yu-Min; Chen, Jun-Home; Liao, Szu-Lang - In: International review of economics & finance : IREF 93 (2024) 2, pp. 503-519

Persistent link: https://www.econbiz.de/10014535585