Using the duration measures defined by Bierwag (1996), we derive the formulae of duration far zero-coupon bonds, coupon bonds and bond portfolios under the Heath, Jarrow and Morton (1990) (HJM) term structure framework. The advantage in using Bierwag's duration measure is that it provides a...

This study investigates whether the existence or strength of any misreaction in the options market is affected by investor sophistication and investor sentiment. Based on a unique data set of the complete history of all transactions in the Taiwan options market, we find that individual investors...

This study adopts a unique dataset that includes the complete history of transactions in the Taiwan options market to investigate the misreaction patterns for marketwise observations and the transactions of four different categories of investors in the high-frequency framework. Using the results...

We set out, in this paper, to extend the Das and Sundaram (2000) model as a means of simultaneously considering correlated default risk structure and counter-party risk. The multinomial model established by Kamrad and Ritchken (1991) is subsequently modified in order to facilitate the...

The effects of price limits and market illiquidity are crucial for pricing derivatives based on some underlying assets traded in the markets with a price limit rule and an illiquidity phenomenon. We develop models to value options for the cases of either the underlying assets encountering price...

In this paper, we focus on two-factor lattices for general diffusion processes with state-dependent volatilities. Although it is common knowledge that branching probabilities must be between zero and one in a lattice, few methods can guarantee lattice feasibility, referring to the property that...