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The volatility structure of oil futures market returns : an empirical investigation
Lian, Yu-Min; Liao, Szu-Lang - In: Investment management and financial innovations 12 (2015) 2, pp. 16-25
Persistent link: https://www.econbiz.de/10011500134
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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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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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A tale of two regimes : theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications
Chang, Charles; Fuh, Cheng-der; Lin, Shih-kuei - In: Journal of banking & finance 37 (2013) 8, pp. 3204-3217
Persistent link: https://www.econbiz.de/10009778451
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Pricing and hedging European energy derivatives : a case study of WTI oil options
Hsu, Chih-chen; Lin, Shih-kuei; Chen, Ting-fu - In: Asia-Pacific journal of financial studies 43 (2014) 3, pp. 317-355
Persistent link: https://www.econbiz.de/10010408044
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Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model : with regime-switching risk premium
Li, Chang-Yi; Chen, Son-nan; Lin, Shih-kuei - In: The European journal of finance 22 (2016) 10/12, pp. 887-908
Persistent link: https://www.econbiz.de/10011715220
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Valuation of callable range accrual linked to CMS Spread under generalized swap market model
He, Jie-Cao; Hsieh, Chang-Chieh; Huang, Zi-Wei; Lin, … - In: International review of financial analysis 90 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014468776