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Closed-form valuations of basket options using a multivariate normal inverse Gaussian model
Wu, Yang-che; Liao, Szu-Lang; Shyu, So-de - In: Insurance / Mathematics & economics 44 (2009) 1, pp. 95-102
Persistent link: https://www.econbiz.de/10009517655
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Fair valuation of mortgage insurance under stochastic default and interest rates
Wu, Yang-Che; Huang, Yi-Ting; Lin, Shih-kuei; Chuang, … - In: The North American journal of economics and finance : a … 42 (2017), pp. 433-447
Persistent link: https://www.econbiz.de/10011938144
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Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index
Wang, Shin-yun; Chuang, Ming-Che; Lin, Shih-kuei; Shyu, … - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 25-51
Persistent link: https://www.econbiz.de/10012432624
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Pricing arithmetic average reset options with control variates
Liao, Szu-Lang; Wang, Chou-Wen - In: The journal of derivatives : the official publication … 10 (2002) 2, pp. 59-74
Persistent link: https://www.econbiz.de/10001745233
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The valuation of reset options with multiple strike resets and reset dates
Liao, Szu-Lang; Wang, Chou-Wen - In: The journal of futures markets 23 (2003) 1, pp. 87-101
Persistent link: https://www.econbiz.de/10001745978
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Pricing and hedging of quanto range accrual notes under Gaussian HJM with cross-currency Levy processes
Liao, Szu-Lang; Hsu, Pao-Peng - In: The journal of futures markets 29 (2009) 10, pp. 973-998
Persistent link: https://www.econbiz.de/10003900954
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Option pricing using the martingale approach with polynomial interpolation
Wang, Ming-chieh; Huang, Li-jhang; Liao, Szu-Lang - In: The journal of futures markets 33 (2013) 5, pp. 469-491
Persistent link: https://www.econbiz.de/10009726364
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Pricing gold options under Markov-modulated jump-diffusion processes
Lin, Shih-kuei; Lian, Yu-Min; Liao, Szu-Lang - In: Applied financial economics 24 (2014) 10/12, pp. 825-836
Persistent link: https://www.econbiz.de/10010402550
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Economic determinants of default risks and their impacts on credit derivative pricing
Liao, Szu-Lang; Chang, Jui-jane - In: The journal of futures markets 30 (2010) 11, pp. 1058-1081
Persistent link: https://www.econbiz.de/10008900939
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The valuation of European options when asset returns are autocorrelated
Liao, Szu-Lang; Chen, Chao-chun - In: The journal of futures markets 26 (2006) 1, pp. 85-102
Persistent link: https://www.econbiz.de/10003303871