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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
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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
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Modeling longevity risks using a principal component approach : a comparison with existing stochastic mortality models
Yang, Sharon S.; Yue, Jack C.; Huang, Hong-chih - In: Insurance / Mathematics & economics 46 (2010) 1, pp. 254-270
Persistent link: https://www.econbiz.de/10003953374
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Pricing survivor derivatives with cohort mortality dependence under the Lee-Carter framework
Wang, Chou-wen; Yang, Sharon S. - In: The journal of risk and insurance : the journal of the … 80 (2013) 4, pp. 1027-1056
Persistent link: https://www.econbiz.de/10010235570
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A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
Yang, Sharon S.; Dai, Tian-shyr - In: Insurance / Mathematics & economics 52 (2013) 2, pp. 231-242
Persistent link: https://www.econbiz.de/10009736111
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Modeling multi-country mortality dependence and its application in pricing survivor index swaps : a dynamic copula approach
Wang, Chou-Wen; Yang, Sharon S.; Huang, Hong-Chih - In: Insurance / Mathematics & economics 63 (2015), pp. 30-39
Persistent link: https://www.econbiz.de/10011349859
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Modeling pandemic mortality risk and its application to mortality-linked security pricing
Chen, Fen-Ying; Yang, Sharon S.; Huang, Hong Chih - In: Insurance / Mathematics & economics 106 (2022), pp. 341-363
Persistent link: https://www.econbiz.de/10013380614