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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
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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
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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
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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
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Pricing virtual currency-linked derivatives with time-inhomogeneity
Lian, Yu-Min; Chen, Jun-Home - In: International review of economics & finance : IREF 71 (2021), pp. 424-439
Persistent link: https://www.econbiz.de/10012627797
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A cost of carry-based framework for the Bitcoin futures price modeling
Lian, Yu-Min; Cheng, Chi-Hung; Lin, Shih-Hsun; Lin, … - In: Journal of mathematical finance 9 (2019) 1, pp. 42-53
Persistent link: https://www.econbiz.de/10012116666
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Joint dynamic modeling and option pricing in incomplete derivative-security market
Lian, Yu-Min; Chen, Jun-Home - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012658787
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Pricing vulnerable options under cross-asset markov-modulated jump-diffusion dynamics
Lian, Yu-Min; Chen, Jun-Home - In: International review of economics & finance : IREF 94 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10014582767
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Foreign exchange option pricing under regime switching with asymmetrical jumps
Lian, Yu-Min; Chen, Jun-Home - In: Finance research letters 46 (2022) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10013341395
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Valuation of chooser options with state-dependent risks
Lian, Yu-Min; Chen, Jun-Home - In: Finance research letters 52 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014471998