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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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Pairs trading : the performance of a stochastic spread model with regime switching-evidence from the S&P 500
Yang, Jen-Wei; Tsai, Shu-Yu; Shyu, So-De; Chang, Chia-Chien - In: International review of economics & finance : IREF 43 (2016), pp. 139-150
Persistent link: https://www.econbiz.de/10011625559
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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 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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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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Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy
Lian, Yu-Min; Chen, Jun-Home; Liao, Szu-Lang - In: Finance research letters 16 (2016), pp. 208-219
Persistent link: https://www.econbiz.de/10011656179
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Cojump risks and their impacts on option pricing
Lian, Yu-Min; Chen, Jun-Home; Liao, Szu-Lang - In: The quarterly review of economics and finance : journal … 79 (2021), pp. 399-410
Persistent link: https://www.econbiz.de/10012655076
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Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes
Chen, Jun-Home; Lian, Yu-Min; Liao, Szu-Lang - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013449359