Similar Search Results

Model specification of conditional jump intensity : Evidence from S&P 500 returns and option prices

Cheng, Hung-Wen; Lo, Chien-Ling; Tsai, Jeffrey Tzuhao - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012667167

Determining bid-ask prices for options with stochastic illiquidity and applications to index options

Chuang, Ming-Che; Tsai, Jeffrey Tzuhao - In: Pacific-Basin finance journal 84 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10014534554

Jump Variance Risk : Evidence from Option Valuation and Stock Returns

Chang, Hsuan-Ling - 2019

We study jump variance risk by jointly examining both stock and option markets. We develop a GARCH option pricing model with jump variance dynamics and a non-monotonic pricing kernel featuring jump variance risk premium. The model yields a closed-form option pricing formula and improves in...

Persistent link: https://www.econbiz.de/10012902142

Ensuring more is better : on the simultaneous application of stock and options data to estimate the GARCH options pricing model

Chang, Charles; Cheng, Hung-Wen; Fuh, Cheng-Der - In: The journal of derivatives : the official publication … 26 (2018) 1, pp. 7-25

Persistent link: https://www.econbiz.de/10011968669

Option valuation with nonmonotonic pricing kernel and embedded volatility component premiums

Chang, Hsuan-Ling; Cheng, Hung-Wen; Lei, Yi-Ding - In: The journal of derivatives : JOD 30 (2023) 4, pp. 105-127

Persistent link: https://www.econbiz.de/10014306890

Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk

Dai, Tian-Shyr; Liu, Liang-Chih; Yang, Sharon S. - In: Quantitative finance 23 (2023) 9, pp. 1325-1339

Persistent link: https://www.econbiz.de/10014339929

Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks

Dai, Tian-Shyr; Yang, Sharon S.; Liu, Liang-Chih - In: Insurance / Mathematics & economics 64 (2015), pp. 364-379

Persistent link: https://www.econbiz.de/10011398106