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VIX Derivatives : Valuation Models and Empirical Evidence
Lo, Chien-Ling; Shih, Pai-Ta; Wang, Yaw-Huei; Yu, Min‐Teh - 2023
This study investigates the value of two variance components and variance jumps in the pricing of VIX derivatives. In an attempt to significantly reduce the computational burden, we propose an efficient numerical technique for the pricing of VIX derivatives under the affine framework. Our...
Persistent link: https://www.econbiz.de/10014355843
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Valuation of insurers' contingent capital with counterparty risk and price endogeneity
Lo, Chien-ling; Lee, Jin-ping; Yu, Min-Teh - In: Journal of banking & finance 37 (2013) 12, pp. 5025-5035
Persistent link: https://www.econbiz.de/10010342133
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Moment-matching approximations for Asian options
Lo, Chien-ling; Palmer, Kenneth J.; Yu, Min-the - In: The journal of derivatives : the official publication … 21 (2014) 4, pp. 103-122
Persistent link: https://www.econbiz.de/10010387678
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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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Reply to a comment on "A new simple square root option pricing model"
Wang, Yaw-huei - In: The journal of futures markets 32 (2012) 2, pp. 199-202
Persistent link: https://www.econbiz.de/10009487020
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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/10009779086
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Static hedging and pricing American options
Chung, San-Lin; Shih, Pai-Ta - In: Journal of banking & finance 33 (2009) 11, pp. 2140-2149
Persistent link: https://www.econbiz.de/10003892254
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A modified static hedging method for continuous barrier options
Chung, San-lin; Shih, Pai-ta; Tsai, Wei-che - In: The journal of futures markets 30 (2010) 12, pp. 1150-1166
Persistent link: https://www.econbiz.de/10008901292
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On the rate of convergence of binomial greeks
Chung, San-lin; Hung, Weifeng; Lee, Han-hsing; Shih, Pai-ta - In: The journal of futures markets 31 (2011) 6, pp. 562-597
Persistent link: https://www.econbiz.de/10009009216
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Static hedging and pricing American knock-out options
Chung, San-lin; Shih, Pai-ta; Tsai, Wei-che - In: The journal of derivatives : the official publication … 20 (2013) 4, pp. 23-48
Persistent link: https://www.econbiz.de/10009760549