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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 and Economics 44 (2009) 1, pp. 95-102

This paper uses a multivariate normal inverse Gaussian model to develop closed-form pricing formulas for both geometric and arithmetic basket options. For geometric basket options, an exact analytical solution is possible; for arithmetic basket options, the formula is an approximation. The model...

Persistent link: https://www.econbiz.de/10004973706

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/10008212893

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. 95-103

Persistent link: https://www.econbiz.de/10008890300

Pricing models of equity swaps

Wang, Ming-Chieh; Liao, Szu-Lang - In: The journal of futures markets 23 (2002) 8, pp. 751-772

Persistent link: https://www.econbiz.de/10001780620

The valuation of hedging strategy of high yield notes

Liao, Szu-Lang; Wang, Chou-wen - In: Jingji-lunwen 31 (2003) 3, pp. 333-367

Persistent link: https://www.econbiz.de/10001921567

Portfolio allocation with dynamic risk preferences via reinforcement learning

Chen, Ting-Fu; Kuang, Xian-Ji; Liao, Szu-Lang; Lin, … - In: Computational economics 64 (2024) 4, pp. 2033-2052

Persistent link: https://www.econbiz.de/10015143990

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

Warrant introduction effects on stock return processes

Chang, Jui-jane; Liao, Szu-Lang - In: Applied financial economics 20 (2010) 16/18, pp. 1377-1395

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An analysis of strategic equity stakes acquisition of Chinese banks by foreign financial institutions

Chang, Hui-lung; Wu, Sou-shan; Liao, Szu-Lang - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 98-109

Persistent link: https://www.econbiz.de/10010204874

Determinants of the adoption of executive stock options in China

Wu, Ming-cheng; Liao, Szu-Lang; Huang, Yi-ting - In: The Chinese economy 46 (2013) 4, pp. 63-84

Persistent link: https://www.econbiz.de/10010213443