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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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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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Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model
Tang, Kin Boon; Zheng, Wen-Jie; Lin, Chao-Yang; Lin, … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012821303
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Risk management for linear and non-linear assets : a bootstrap method with importance resampling to evaluate value-at-risk
Lin, Shih-kuei; Wang, Ren-her; Fuh, Cheng-der - In: Asia-Pacific financial markets 13 (2006) 3, pp. 261-295
Persistent link: https://www.econbiz.de/10003609500
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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
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Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk
Lin, Shih-Kuei; Wang, Ren-Her; Fuh, Cheng-Der - In: Asia-Pacific Financial Markets 13 (2006) 3, pp. 261-295
Persistent link: https://www.econbiz.de/10005684903