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~person:"Lian, Yu-Min"
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Option pricing theory
6
Optionspreistheorie
6
Esscher transform
5
Volatility
4
Volatilität
4
Stochastic process
3
Stochastischer Prozess
3
Currency derivative
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Derivat
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Systematic cojump
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Wechselkurs
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American gold futures option
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Chooser option
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Correlated bivariate jump-diffusion model
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Cross-asset markov-modulated jump-diffusion model
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Cross-currency derivatives
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Currency option
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Devisenoption
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European gold option
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Foreign exchange rate
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Heath–jarrow–morton model
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Individual jump
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Least-squares Monte Carlo method
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Markov chain
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Markov-Kette
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Markov-modulated
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Markov-modulated Heath-Jarrow-Morton model
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Markov-modulated cojump-diffusion dynamics
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Markov-modulated esscher transform
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Markov-modulated jump-diffusion process
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Markovian regime-switching jump-diffusion model
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Merton measure
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Lian, Yu-Min
Siu, Tak Kuen
15
Lee, Hangsuck
11
Elliott, Robert J.
10
Chen, Jun-Home
6
Fard, Farzad Alavi
6
Chan, Leunglung
5
Liao, Szu-Lang
5
Elliott, Robert
4
Goovaerts, Marc J.
4
Ko, Bangwon
4
Lee, Gaeun
4
Lee, Minha
4
Odening, Martin
4
Ritter, Matthias
4
Song, Seongjoo
4
Tang, Qihe
4
Badescu, Alex
3
Chan, Wai-Sum
3
Doko Tchatoka, Firmin
3
Fengler, Matthias
3
Kaas, Rob
3
Kim, Young
3
Laeven, Roger J.A.
3
Li, Chang-Yi
3
Lin, Shih-kuei
3
López Cabrera, Brenda
3
Shen, Yang
3
Siu, Tak
3
Sriananthakumar, Sivagowry
3
Badescu, Alexandru
2
Chen, Son-nan
2
Chiang, Mi-Hsiu
2
ELLIOTT, ROBERT J.
2
Ha, Hongjun
2
Herwartz, Helmut
2
Kulperger, Reg
2
Küchler, Uwe
2
Lee, Jeong
2
Li, Johnny Siu-Hang
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Finance research letters
2
International review of economics & finance : IREF
2
Applied financial economics
1
The North American journal of economics and finance : a journal of financial economics studies
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
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1
Pricing vulnerable options under cross-asset markov-modulated jump-diffusion dynamics
Lian, Yu-Min
;
Chen, Jun-Home
- In:
International review of economics & finance : IREF
94
(
2024
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014582767
Saved in:
2
Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics
Lian, Yu-Min
;
Chen, Jun-Home
;
Liao, Szu-Lang
- In:
International review of economics & finance : IREF
93
(
2024
)
2
,
pp. 503-519
Persistent link: https://www.econbiz.de/10014535585
Saved in:
3
Valuation of chooser options with state-dependent risks
Lian, Yu-Min
;
Chen, Jun-Home
- In:
Finance research letters
52
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014471998
Saved in:
4
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
Saved in:
5
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
Saved in:
6
State-dependent jump risks for American gold futures option pricing
Lian, Yu-Min
;
Liao, Szu-Lang
;
Chen, Jun-Home
- In:
The North American journal of economics and finance : a …
33
(
2015
),
pp. 115-133
Persistent link: https://www.econbiz.de/10011534881
Saved in:
7
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
Saved in:
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