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A multiphase, flexible, and accurate lattice for pricing complex derivatives with multiple market variables
Dai, Tian-shyr; Wang, Chuan-ju; Lyuu, Yuh-dauh - In: The journal of futures markets 33 (2013) 9, pp. 795-826
Persistent link: https://www.econbiz.de/10009779071
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The bino-trinomial tree : a simple model for efficient and accurate option pricing
Dai, Tian-shyr; Lyuu, Yuh-dauh - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 7-24
Persistent link: https://www.econbiz.de/10003985505
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Option pricing with the control variate technique beyond Monte Carlo simulation
Chiu, Chun-Yuan; Dai, Tian-Shyr; Lyuu, Yuh-dauh; Liu, … - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013539074
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Financial engineering and computation : principles, mathematics, algorithms
Lyuu, Yuh-dauh - 2002 - 1. publ.
Persistent link: https://www.econbiz.de/10001571910
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Optimal search for parameters in Monte Carlo simulation for derivative pricing
Wang, Chuan-Ju; Kao, Ming-Yang - In: European journal of operational research : EJOR 249 (2016) 2, pp. 683-690
Persistent link: https://www.econbiz.de/10011436827
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A systematic and efficient simulation scheme for the Greeks of financial derivatives
Lyuu, Yuh-dauh; Teng, Huei-Wen; Tseng, Yao-Te; Wang, … - In: Quantitative finance 19 (2019) 7, pp. 1199-1219
Persistent link: https://www.econbiz.de/10012194755