Zobrazeno 1 - 10
of 13
pro vyhledávání: '"Chien-Ling Lo"'
Autor:
Chien-Ling Lo, 駱建陵
102
This dissertation contains four essays on derivatives pricing. Specifically, the first part of dissertation “Volatility Model Specification: Evidence from the Pricing of VIX Derivatives” examines the empirical performance of various stoc
This dissertation contains four essays on derivatives pricing. Specifically, the first part of dissertation “Volatility Model Specification: Evidence from the Pricing of VIX Derivatives” examines the empirical performance of various stoc
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/99820046263316571430
Publikováno v:
Journal of Empirical Finance. 72:122-142
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e9a0f16aef715255135ab0cf148b282f
https://doi.org/10.1016/j.jempfin.2023.03.005
https://doi.org/10.1016/j.jempfin.2023.03.005
Publikováno v:
Pacific-Basin Finance Journal. 53:1-21
This study proposes an efficient approach for the pricing of VIX derivatives under the affine framework and investigates the respective value of two variance components and variance jumps in the pricing of VIX derivatives. Our numerical results show
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3860e31e0d5db50561a49698e414e639
https://doi.org/10.1016/j.pacfin.2018.09.004
https://doi.org/10.1016/j.pacfin.2018.09.004
Publikováno v:
Pacific-Basin Finance Journal. 68:101314
Catastrophe (CAT) swaps are bilateral contracts through which CAT losses can be transferred between two counterparties. They do not require collateral upon initiation, making them default-risky, have an average maturity of 3 years and may use index t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8b2f58716e6d61ee537b7f57d822035f
https://doi.org/10.1016/j.pacfin.2020.101314
https://doi.org/10.1016/j.pacfin.2020.101314
Publikováno v:
Journal of Financial Markets. 53:100565
We employ options-implied information derived from implied volatility spreads and implied volatility skews to identify the momentum stage of stocks. We show that the early-stage (late-stage) momentum strategy of buying identified early-stage (late-st
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7cfd00f6af269bba5c9a5d4b7e06a841
https://doi.org/10.1016/j.finmar.2020.100565
https://doi.org/10.1016/j.finmar.2020.100565
Publikováno v:
The North American Journal of Economics and Finance. 54:100841
This study investigates the model specification of the conditional jump intensity under option pricing models having a generalized autoregressive conditional heteroskedastic with jumps (GARCH-jump). We compare three GARCH-jump models of Chang, Chang,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a2ef220fd63e4809d40b31433a5e6dea
https://doi.org/10.1016/j.najef.2018.08.024
https://doi.org/10.1016/j.najef.2018.08.024
Autor:
Chien-Ling Lo
Publikováno v:
26th Annual European Real Estate Society Conference.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cc8ebc7efd1d6fe4b64f9ada771dd97e
https://doi.org/10.15396/eres2019_195
https://doi.org/10.15396/eres2019_195
Autor:
Chien-Ling Lo
Publikováno v:
26th Annual European Real Estate Society Conference.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::152f00c5c3a91749b176a1082b255c85
https://doi.org/10.15396/eres2019_285
https://doi.org/10.15396/eres2019_285
Publikováno v:
The Journal of Derivatives. 21:103-122
One of the most common kind of option with nonstandard exercise styles is the Asian option. There are several variants, but they all have payoffs based on the average price of the underlying asset over some portion of the option’s lifetime. This pr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e0ccd7119dfa4a7c9c7bbb3da96a1615
https://doi.org/10.3905/jod.2014.21.4.103
https://doi.org/10.3905/jod.2014.21.4.103
Publikováno v:
Journal of Banking & Finance. 37:5025-5035
This study develops a structural framework to value insurers’ contingent capital with counterparty risk (CR) and overcomes the problem of price endogeneity (PE) in the valuation model. Our results on the focal contingent capital instrument – cata
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::18238fbb4707a4c58a64f3dd87c1e528
https://doi.org/10.1016/j.jbankfin.2013.09.007
https://doi.org/10.1016/j.jbankfin.2013.09.007