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VaR/CVaR Estimation Under Stochastic Volatility Models

Han, Chuan-Hsiang - 2013

This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) estimation. This improved procedure is composed of the following instrumental components: Fourier transform method for volatility...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013088465

Generalized control variate methods for pricing Asian options

Han, Chuan-Hsiang; Lai, Yongzeng - In: The journal of computational finance 14 (2010/11) 2, pp. 87-118

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008810127

Variance reduction for MC/QMC methods to evaluate option prices

Fouque, Jean-Pierre; Han, Chuan-Hsiang; Lai, Yongzeng - In: Recent advances in financial engineering : proceedings …, (pp. 27-48). 2009

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003871156

Robust hedging performance and volatility risk in option markets : application to Standard and Poor's 500 and Taiwan index options

Han, Chuan-Hsiang; Chang, Chien-Hung; Kuo, Chii-Shyan; … - In: International review of economics & finance : IREF 40 (2015), pp. 160-173

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011573571

Estimating probability weighting functions through option pricing bounds

Chen, Tzu-Ying; Lin, Yo-Lan; Tzeng, Larry Y. - In: Review of asset pricing studies : RAPS 14 (2024) 3, pp. 513-543

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015046154

Asymmetric variance reduction for pricing american options

Han, Chuan-Hsiang; Fouque, Jean-Pierre - 2009

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003826937

Evaluation of compound options using perturbation approximation

Fouque, Jean-Pierre; Han, Chuan-Hsiang - In: The journal of computational finance 9 (2005) 1, pp. 41-61

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003191108

Can the improved CMBO strategies beat the CMBO index?

Liu, Wei-Han; Chang, Jow-Ran - In: The journal of derivatives : JOD 28 (2021) 3, pp. 163-183

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012486036

Option pricing based on the residual neural network

Gan, Lirong; Liu, Wei-han - In: Computational economics 63 (2024) 4, pp. 1327-1347

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014549024