In this paper the authors investigate the performance of the original and repeated Richardson extrapolation methods for American option pricing by implementing both the original and modified Geske–Johnson approximation formulae. A comprehensive numerical comparison includes alternative...

This study compares the computational accuracy and efficiency of three numerical methods for the valuation of contingent claims written on multiple underlying assets; these are the trinomial tree, original Markov chain and Sobol-Markov chain approaches. The major findings of this study are: (i)...

This study follows the approach of Ni et al. [Ni, S.X., Pan, J., Poteshman, A.M., 2008. Volatility information trading in the option market. Journal of Finance 63, 1059-1091] - based upon the vega-weighted net demand for volatility - to determine whether volatility information exists within the...

This study adopts a unique dataset that includes the complete history of transactions in the Taiwan options market to investigate the misreaction patterns for marketwise observations and the transactions of four different categories of investors in the high-frequency framework. Using the results...

This study follows the approach of Ni, Pan and Poteshman (2008) ndash; based upon the vega-weighted net demand for volatility ndash; to determine whether volatility information exists within the Taiwan options market. Our empirical results show that foreign institutional investors possess the...

This study focuses on the stocks that are listed in A- and H-share markets from January 2000 to December 2009. Following Chan, Jegadeesh and Lakonishok (1996), we test the profitability of price momentum and earnings momentum strategies under different market systems and accounting standards. In...