Narrow search
Showing 1 - 10 of 269
Cover Image
Tight bounds on American option prices
Chung, San-lin; Hung, Mao-Wei; Wang, Jr-yan - In: Journal of banking & finance 34 (2010) 1, pp. 77-89
Persistent link: https://www.econbiz.de/10003905673
Cover Image
The index fund rationality paradox
Chung, San-Lin; Hung, Mao-Wei; Wang, Jr-Yan - In: Journal of banking & finance 34 (2010) 1, pp. 33-44
Persistent link: https://www.econbiz.de/10008349494
Cover Image
Tight bounds on American option prices
Chung, San-Lin; Hung, Mao-Wei; Wang, Jr-Yan - In: Journal of banking & finance 34 (2010) 1, pp. 77-90
Persistent link: https://www.econbiz.de/10008894561
Cover Image
A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump-diffusion-ruin process
Chung, San-Lin; Wang, Jr-Yan - In: Journal of Futures Markets 38 (2018) 8, pp. 898-924
Persistent link: https://www.econbiz.de/10012082107
Cover Image
Loss aversion and the term structure of interest rates
Hung, Mao-Wei; Wang, Jr-yan - In: Applied economics 43 (2011) 28/30, pp. 4623-4640
Persistent link: https://www.econbiz.de/10009388069
Cover Image
Asset prices under prospect theory and habit formation
Hung, Mao-Wei; Wang, Jr-Yan - In: Review of Pacific Basin financial markets and policies 8 (2005) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10002712022
Cover Image
Pricing convertible bonds subject to default risk
Hung, Mao-Wei; Wang, Jr-Yan - In: The journal of derivatives : the official publication … 10 (2002) 2, pp. 75-87
Persistent link: https://www.econbiz.de/10001745235
Cover Image
A lattice model for option pricing under GARCH-jump processes
Lin, Bing-huei; Hung, Mao-wei; Wang, Jr-yan; Wu, Ping-da - In: Review of derivatives research 16 (2013) 3, pp. 295-329
Persistent link: https://www.econbiz.de/10010222937
Cover Image
Rainbow trend options : valuation and applications
Wang, Jr-Yan; Wang, Hsiao-Chuan; Ko, Yi-Chen; Hung, Mao-Wei - In: Review of derivatives research 20 (2017) 2, pp. 91-133
Persistent link: https://www.econbiz.de/10011935970
Cover Image
A lattice model for option pricing under GARCH-jump processes
Lin, Bing-Huei; Hung, Mao-Wei; Wang, Jr-Yan; Wu, Ping-Da - In: Review of Derivatives Research 16 (2013) 3, pp. 295-329
This study extends the GARCH pricing tree in Ritchken and Trevor (J Financ 54:366–402, <CitationRef CitationID="CR33">1999</CitationRef>) by incorporating an additional jump process to develop a lattice model to value options. The GARCH-jump model can capture the behavior of asset prices more appropriately given its consistency with...</citationref>
Persistent link: https://www.econbiz.de/10010989563