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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
Persistent link: https://www.econbiz.de/10009673702
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The valuation of multivariate contingent claims under transformed trinomial approaches
Chang, Chuang-chang; Lin, Jun-biao - In: Review of quantitative finance and accounting 34 (2010) 1, pp. 23-36
Persistent link: https://www.econbiz.de/10003942163
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The valuation of contingent claims using alternative numerical methods
Chang, Chuang-chang; Lin, Jun-biao - In: Journal of international financial markets, … 20 (2010) 5, pp. 490-508
Persistent link: https://www.econbiz.de/10009247749
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The effect of stochastic interest rates on a firm's capital structure under a generalized model
Chang, Chuang-chang; Lin, Jun-Biao; Yang, Chun-Chieh - In: Review of quantitative finance and accounting 45 (2015) 4, pp. 695-719
Persistent link: https://www.econbiz.de/10011532102
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A generalized Brennan-Rubinstein approach for valuing options with stochastic interest rates
Chang, Chuang-chang; Tsay, Min-Hung; Lin, Jun-Biao - In: The quarterly review of economics and finance : journal … 67 (2018), pp. 92-99
Persistent link: https://www.econbiz.de/10012034430
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The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index
Chung, San-lin; Tsai, Wei-che; Wang, Yaw-huei; Weng, … - In: The journal of futures markets 31 (2011) 12, pp. 1170-1201
Persistent link: https://www.econbiz.de/10009355722
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The information content of trading activity and quote changes : evidence from VIX Options
Tsai, Wei-Che; Chiu, Ying-Tzu; Wang, Yaw-Huei - In: The journal of futures markets 35 (2015) 8, pp. 715-737
Persistent link: https://www.econbiz.de/10011392636
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The Information Content of Trading Activity and Quote Changes : Evidence from VIX Options
Tsai, Wei-Che - 2017
We investigate the informational role of trading volume and quote changes in VIX options with regard to future movements in the index, based upon a high-frequency framework. Our results reveal that whilst volume imbalances convey no significant predictive information, quote changes in VIX...
Persistent link: https://www.econbiz.de/10012957300
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An Analysis on the Intraday Trading Activity of VIX Derivatives
Kao, Dian-Xuan - 2017
We investigate the relation between trading activity in the VIX derivative markets and changes in the VIX index under a high-frequency framework. We find a significant relation between the signed trading variables of VIX futures and the contemporaneous changes in the VIX index. In addition, the...
Persistent link: https://www.econbiz.de/10012957351
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The Information Content of the S&P 500 Index and VIX Options on the Dynamics of the S&P 500 Index
San-Lin, Chung - 2013
Given that both S&P 500 index and VIX options essentially contain information on the future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the informational roles played by these two option markets with regard to the prediction of returns, volatility and...
Persistent link: https://www.econbiz.de/10013094125