Zobrazeno 1 - 10
of 26
pro vyhledávání: '"Jr-Yan Wang"'
Autor:
Jr-yan Wang, 王之彥
90
Many recent articles have tried to introduce some new psychological characteristics into the utility function to improve its ability to describing the behavior of human beings, such as the prospect theory, habit formation, and the disappointm
Many recent articles have tried to introduce some new psychological characteristics into the utility function to improve its ability to describing the behavior of human beings, such as the prospect theory, habit formation, and the disappointm
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/12547023022269905333
Publikováno v:
Journal of Futures Markets. 42:2103-2134
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d63d902cad005256a3e6ecdb2190ba3c
https://doi.org/10.1002/fut.22370
https://doi.org/10.1002/fut.22370
Publikováno v:
Mathematical Problems in Engineering. 2022:1-20
Options can be priced by the lattice model, the results of which converge to the theoretical option value as the lattice’s number of time steps n approaches infinity. The time complexity of a common dynamic programming pricing approach on the latti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a6ce6d5f3427efdc1f9d00ae18942f74
https://doi.org/10.1155/2022/5843491
https://doi.org/10.1155/2022/5843491
Publikováno v:
Management Science. 66:2792-2795
Levy [Levy H (2016) Aging population, retirement, and risk taking. Management Sci. 62(5):1415–1430.] proposes asymptotic first-degree stochastic dominance (AFSD) as a distribution-ranking criterion for all nonsatiable decision makers with infinite
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0a1df5d0f2690e7bb24fb38bd0eac875
https://doi.org/10.1287/mnsc.2018.3052
https://doi.org/10.1287/mnsc.2018.3052
Publikováno v:
European Journal of Operational Research. 280:312-322
Levy (2016) proposes asymptotic first-degree stochastic dominance as a distribution ranking criterion for all non-satiable decision makers with infinite investment horizons. Given Levy’s setting, this paper defines and offers the equivalent distrib
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7ad69f25012b2775f2895eb56b45be2d
https://doi.org/10.1016/j.ejor.2019.06.052
https://doi.org/10.1016/j.ejor.2019.06.052
Publikováno v:
Journal of Financial Econometrics.
This paper proposes a damped constant elasticity variance (CEV) stochastic volatility (DCEV) model, which remedies the possible explosive behavior of the CEV model and also accommodates the mean-reverting dynamics more appropriately than the nonlinea
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5953805f8ce57abe987578bcd44a6f58
https://doi.org/10.1093/jjfinec/nbab018
https://doi.org/10.1093/jjfinec/nbab018
Autor:
Jr-Yan Wang, San-Lin Chung
Publikováno v:
Journal of Futures Markets. 38:898-924
We propose an analytical‐form framework for pricing perpetual Bermudan options (PBOs) under the lognormal jump‐diffusion‐ruin model of Merton (1976). We first analytically derive the holding and early exercise values of PBOs. The optimal exerci
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1a216e2c21ea7b11bfef9c5e918a02b5
https://doi.org/10.1002/fut.21911
https://doi.org/10.1002/fut.21911
Publikováno v:
Annals of Operations Research. 264:339-366
This paper extends the forward Monte-Carlo methods, which have been developed for the basic types of American options, to the valuation of American barrier options. The main advantage of these methods is that they do not require backward induction, t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::470370e7b85c783560bd97b7863657e2
https://doi.org/10.1007/s10479-017-2639-4
https://doi.org/10.1007/s10479-017-2639-4
Autor:
Tian-Shyr Dai, Jr-Yan Wang
Publikováno v:
The Journal of Derivatives. 24:52-79
Reduced-form models of default risk require estimates of the recovery rate, or equivalently, the loss given default. In many cases, this is simply set at a fixed recovery rate of 40%. But the 40% rate is often far from the realized recovery amount in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a765f699f3d23f859c0402392a006b55
https://doi.org/10.3905/jod.2017.24.4.052
https://doi.org/10.3905/jod.2017.24.4.052
Publikováno v:
Journal of Futures Markets.
We price an American floating strike lookback option under the Black–Scholes model with a hypothetic static hedging portfolio (HSHP) composed of nontradable European options. Our approach is more efficient than the tree methods because recalculatin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::50b0931b72042f3aa21d1dc93532d1a9
https://doi.org/10.1002/fut.21986
https://doi.org/10.1002/fut.21986