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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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Stock and option market divergence in the presence of noisy information
Chen, Carl R.; Diltz, J. David; Huang, Ying; Lung, Peter P. - In: Journal of banking & finance 35 (2011) 8, pp. 2001-2020
Persistent link: https://www.econbiz.de/10009247354
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Option trading volume and the cross-section of option returns
Yuan, Jianglei; Liu, Dehong; Chen, Carl R.; Hu, Sen - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-17
Persistent link: https://www.econbiz.de/10015133708
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The power of real options in games betting : an application of switching options
Wang, Shin-yun - In: The journal of gambling business and economics 3 (2009) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10003987407
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A fuzzy set approach for generalized CRR model : an empirical analysis of S&P 500 index options
Lee, Cheng F.; Tzeng, Gwo-hshiung; Wang, Shin-yun - In: Review of quantitative finance and accounting 25 (2005) 3, pp. 255-275
Persistent link: https://www.econbiz.de/10003152352
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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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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 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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A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks : evidence from stock indices
Lin, Shih-kuei; Lin, Chien-hsiu; Chuang, Ming-che; … - In: Economic modelling 38 (2014), pp. 341-350
Persistent link: https://www.econbiz.de/10010419066
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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