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An artificial intelligence approach to the valuation of American-style derivatives: A use of particle swarm optimization
Chen, Ren-Raw; Huang, Jeffrey; Huang, William; Yu, Robert - In: Journal of Risk and Financial Management 14 (2021) 2, pp. 1-22
In this paper, we evaluate American-style, path-dependent derivatives with an artificial intelligence technique. Specifically, we use swarm intelligence to find the optimal exercise boundary for an American-style derivative. Swarm intelligence is particularly efficient (regarding computation and...
Persistent link: https://www.econbiz.de/10012611614
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Crash risk and risk neutral densities
Chen, Ren-Raw; Hsieh, Pei-lin; Huang, Jeffrey - In: Journal of empirical finance 47 (2018), pp. 162-189
Persistent link: https://www.econbiz.de/10012103473
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It is time to shift log-normal
Chen, Ren-Raw; Hsieh, Pei-Lin; Huang, Jeffrey - In: The journal of derivatives : the official publication … 25 (2018) 3, pp. 89-103
Persistent link: https://www.econbiz.de/10011941359
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It is time to shift log-normal
Chen, Ren-Raw; Hsieh, Pei-Lin; Huang, Jeffrey - In: The journal of fixed income 27 (2017) 2, pp. 37-51
Persistent link: https://www.econbiz.de/10011803736
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Predictive power of the implied volatility term structure in the fixed-income market
Chen, Ren-Raw; Hsieh, Pei-Lin; Huang, Jeffrey; Li, Xiaowei - In: The journal of futures markets 43 (2023) 3, pp. 349-383
Persistent link: https://www.econbiz.de/10014293073
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Understanding and managing interest rate risks
Chen, Ren-Raw - 1996
Persistent link: https://www.econbiz.de/10000620475
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Valuing a liquidity discount
Chen, Ren-Raw - In: The journal of fixed income 21 (2012) 3, pp. 59-73
Persistent link: https://www.econbiz.de/10009532098
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A two-factor, preference-free model for interest rate sensitive claims
Chen, Ren-Raw - In: The journal of futures markets 15 (1995) 3, pp. 345-372
Persistent link: https://www.econbiz.de/10001180184
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Exact solutions for futures and European futures options on pure discount bonds
Chen, Ren-Raw - In: Journal of financial and quantitative analysis : JFQA 27 (1992) 1, pp. 97-107
Persistent link: https://www.econbiz.de/10001122224
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A new look at interest rate futures contracts
Chen, Ren-Raw - In: The journal of futures markets 12 (1992) 5, pp. 539-548
Persistent link: https://www.econbiz.de/10001129993