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Volatility information and derivatives trading : directional or volatility trades?

Wang, Yaw-Huei; Yen, Kuang-Chieh - In: Journal of financial studies : JFS : the official … 30 (2022) 4, pp. 35-64

Persistent link: https://www.econbiz.de/10013533141

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

Information content of options trading volume for future volatility : evidence from the Taiwan options market

Chang, Chuang-chang; Hsieh, Pei-fang; Wang, Yaw-huei - In: Journal of banking & finance 34 (2010) 1, pp. 174-183

Persistent link: https://www.econbiz.de/10003905751

Intraday volatility patterns in the Taiwan stock market and the impact on volatility forecasting

Wang, Yaw-huei; Wang, Yun-Yi - In: Asia-Pacific journal of financial studies 39 (2010) 1, pp. 70-89

Persistent link: https://www.econbiz.de/10009315274

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

The impact of liquidity on option prices

Chou, Robin K.; Chung, San-lin; Hsiao, Yu-jen; Wang, … - In: The journal of futures markets 31 (2011) 12, pp. 1116-1141

Persistent link: https://www.econbiz.de/10009355730

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

The volatility and density prediction performance of alternative GARCH models

Huang, Teng-hao; Wang, Yaw-huei - In: Journal of forecasting 31 (2012) 2, pp. 157-171

Persistent link: https://www.econbiz.de/10009503689

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

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

Persistent link: https://www.econbiz.de/10009750772

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