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Testing the closed-form spread option pricing formula based on Gauss-hermite quadrature for a jump-diffusion model
Lin, Xenos Chang-Shuo; Miao, Daniel Wei-Chung; Chang, … - In: Computational economics 64 (2024) 5, pp. 2879-2908
Persistent link: https://www.econbiz.de/10015144084
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Option pricing under jump-diffusion models with mean-reverting bivariate jumps
Miao, Daniel Wei-chung; Lin, Xenos Chang-shuo; Chao, … - In: Operations research letters 42 (2014) 1, pp. 27-33
Persistent link: https://www.econbiz.de/10010259274
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A note on the never-early-exercise region of American power exchange options
Miao, Daniel Wei-Chung; Lin, Xenos Chang-Shuo; Yu, … - In: Operations research letters 44 (2016) 1, pp. 129-135
Persistent link: https://www.econbiz.de/10011455592
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Pricing short-dated foreign equity options with a bivariate jump-diffusion model with correlated fat-tailed jumps
Ulyah, Siti Maghfirotul; Lin, Xenos Chang-Shuo; Miao, … - In: Finance research letters 24 (2018), pp. 113-128
Persistent link: https://www.econbiz.de/10011982515
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A forward Monte Carlo method for American options pricing
Miao, Daniel Wei-chung; Lee, Yung-hsin - In: The journal of futures markets 33 (2013) 4, pp. 369-395
Persistent link: https://www.econbiz.de/10009725613
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An early-exercise-probability perspective of American put options in the low-interest-rate era
Miao, Daniel Wei-Chung; Lee, Yung-Hsin; Chao, Wan-Ling - In: The journal of futures markets 35 (2015) 12, pp. 1154-1172
Persistent link: https://www.econbiz.de/10011546243
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Using forward Monte-Carlo simulation for the valuation of American barrier options
Wei-Chung Miao, Daniel; Lee, Yung-Hsin; Wang, Jr-Yan - 2018
Persistent link: https://www.econbiz.de/10011891173