We utilize the respective information share and common factor component weight approaches of Hasbrouck (1995) and Gonzalo and Granger (1995) to examine price discovery competition between the VIX and VIX futures. Our results show that VIX futures prices play a dominant role in the overall...

In this paper we propose a Gaussian quadrature method to study American and exotic option pricing under the jump-diffusion model of Merton (1976). Our numerical experiments show that the Gaussian quadrature method, compared to several existing methods in the literature, including the fast Gauss...

This paper investigates the effect of monetary policies, mainly proxied by interest rate changes, on the relationship between advertising and subsequent net cash flows for Taiwan's mutual fund industry. Based on a comprehensive mutual fund dataset and allowing for a precise estimation of fund...

We investigate the informational role of trading volume and quote changes in VIX options with regard to future movements in the index, based upon a high-frequency framework. Our results reveal that whilst volume imbalances convey no significant predictive information, quote changes in VIX...

We investigate the relation between trading activity in the VIX derivative markets and changes in the VIX index under a high-frequency framework. We find a significant relation between the signed trading variables of VIX futures and the contemporaneous changes in the VIX index. In addition, the...

This paper extends the static hedge portfolio (SHP) approach of Derman, Ergener, and Kani (1995) and Carr, Ellis, and Gupta (1998) to price and/or hedge American knock-out options. We construct a SHP to match the complicated boundary conditions of American barrier options. Detailed analyses of...

We investigate whether foreign institutional investors possess private information in index futures trading based upon six-year market index futures transaction data on the Taiwan Futures Exchange (TAIFEX). According to the French and Roll (1986) ‘decomposition of price formation', our...

We set out in this study to determine whether individuals with higher levels of financial literacy are more likely to be active participants in the derivatives markets. Our empirical results, based upon an official National Survey undertaken by the Financial Supervisory Commission of Taiwan,...