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Hedging strategy comparisons of volatility index options using diffusion models

Lin, Jun-Biao - In: The international journal of business and finance … 9 (2015) 3, pp. 59-69

Persistent link: https://www.econbiz.de/10011285427

Option-implied equity risk and the cross section of stock returns

Chen, Te-Feng; Chung, San-Lin; Tsai, Wei-Che - In: Financial analysts' journal : FAJ 72 (2016) 6, pp. 42-55

Persistent link: https://www.econbiz.de/10011574798

Price delay and post-earnings announcement drift anomalies : the role of option-implied betas

Ho, Hwai-chung; Tsai, Wei-Che - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012667185

VIX Derivatives : Valuation Models and Empirical Evidence

Lo, Chien-Ling; Shih, Pai-Ta; Wang, Yaw-Huei; Yu, Min‐Teh - 2023

This study investigates the value of two variance components and variance jumps in the pricing of VIX derivatives. In an attempt to significantly reduce the computational burden, we propose an efficient numerical technique for the pricing of VIX derivatives under the affine framework. Our...

Persistent link: https://www.econbiz.de/10014355843

Intraday volatility patterns in the Taiwan stock market and the impact on volatility forecasting

Wang, Yaw-huei; Wang, Yun-Yi - In: Asia-Pacific journal of financial studies 39 (2010) 1, pp. 70-89

Persistent link: https://www.econbiz.de/10009315274

VIX derivatives : valuation models and empirical evidence

Lo, Chien-Ling; Shih, Pai-Ta; Wang, Yaw-Huei; Yu, Min-Teh - In: Pacific-Basin finance journal 53 (2019), pp. 1-21

Persistent link: https://www.econbiz.de/10012133281

Measuring risk-based premium and capital requirement for insurers

Chang, Chuang-chang; Dong, Meng-yun; Yu, Min-Teh - In: Advances in financial planning and forecasting 8 (1998), pp. 63-78

Persistent link: https://www.econbiz.de/10001406382

Fitting and testing for the implied volatility curve using parametric models

Chang, Chuang-chang; Chou, Pin-huang; Liao, Tzu-hsiang - In: The journal of futures markets 32 (2012) 12, pp. 1171-1191

Persistent link: https://www.econbiz.de/10009697755

Determinants of disposition effect in the real estate market : evidence from Taiwan

Chao, Ching-Hsiang; Chang, Chuang-chang; Chen, Tsung-Yu; … - In: Pacific-Basin finance journal 87 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10015100730