Search Results - person:"Yaw‐Huei Wang"

The intraday behavior of information misreaction across various categories of investors in the Taiwan options market

Chang, Chuang-Chang; Hsieh, Pei-Fang; Tang, Chih-Wei; … - In: Journal of Financial Markets 16 (2013) 2, pp. 362-385

This study adopts a unique dataset that includes the complete history of transactions in the Taiwan options market to investigate the misreaction patterns for marketwise observations and the transactions of four different categories of investors in the high-frequency framework. Using the results...

Persistent link: https://www.econbiz.de/10010636203

Volatility Information in the Trading Activity of Stocks, Options, and Volatility Options

Yaw‐Huei Wang - In: Journal of Futures Markets 33 (2013) 8, pp. 752-773

Persistent link: https://www.econbiz.de/10011006039

Volatility Information in the Trading Activity of Stocks, Options, and Volatility Options

Wang, Yaw‐Huei - In: The journal of futures markets 33 (2013) 8, pp. 752-773

Persistent link: https://www.econbiz.de/10010121177

The relationships between sentiment, returns and volatility

Wang, Yaw-Huei; Keswani, Aneel; Taylor, Stephen - In: International journal of forecasting 22 (2006) 1, pp. 109-123

Persistent link: https://www.econbiz.de/10003283957

Another look at the relationship between cross-market correlation and volatility

Bartram, Söhnke M.; Wang, Yaw-Huei - In: Finance research letters 2 (2005) 2, pp. 75-88

Persistent link: https://www.econbiz.de/10002883183

Comment on "A new simple square root option pricing model"

Kim, Hwa-sung; Kang, Jangkoo; Shin, Jeongwoo - In: The journal of futures markets 32 (2012) 2, pp. 191-198

Persistent link: https://www.econbiz.de/10009487021

Using Richardson extrapolation techniques to price American options with alternative stochastic processes

Chang, Chuang-Chang; Lin, Jun-Biao; Tsai, Wei-Che; … - In: Review of Quantitative Finance and Accounting 39 (2012) 3, pp. 383-406

In this paper the authors investigate the performance of the original and repeated Richardson extrapolation methods for American option pricing by implementing both the original and modified Geske–Johnson approximation formulae. A comprehensive numerical comparison includes alternative...

Persistent link: https://www.econbiz.de/10010867627

Reply to “A comment on “A new simple square root option pricing model””

Yaw‐Huei Wang - In: Journal of Futures Markets 32 (2012) 2, pp. 199-202

Persistent link: https://www.econbiz.de/10011006097

The Volatility and Density Prediction Performance of Alternative <fc>GARCH</fc> Models

Teng‐Hao Huang; Yaw‐Huei Wang - In: Journal of Forecasting 31 (2012) 2, pp. 157-171

Persistent link: https://www.econbiz.de/10011006294

Using Richardson extrapolation techniques to price American options with alternative stochastic processes

Chang, Chuang-Chang; Lin, Jun-Biao; Tsai, Wei-Che; … - In: Review of quantitative finance and accounting 39 (2012) 3, pp. 383-407

Persistent link: https://www.econbiz.de/10010021405