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The information content of the implied volatility term structure on future returns

Wang, Yaw-Huei; Yen, Kuang-Chieh - In: European Financial Management 25 (2018) 2, pp. 380-406

Persistent link: https://www.econbiz.de/10012089840

Volatility information and derivatives trading : directional or volatility trades?

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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

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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

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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

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