Zobrazeno 1 - 10
of 25
pro vyhledávání: '"Pai-Ta Shih"'
Publikováno v:
Review of Quantitative Finance and Accounting. 60:1143-1160
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fa8ec6baf31f10de7b1fc582b9c79cda
https://doi.org/10.1007/s11156-022-01123-2
https://doi.org/10.1007/s11156-022-01123-2
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0467db3c1ed075597e338878ef561c5f
https://doi.org/10.2139/ssrn.4043651
https://doi.org/10.2139/ssrn.4043651
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:
Journal of Risk and Financial Management, Vol 14, Iss 241, p 241 (2021)
Journal of Risk and Financial Management
Volume 14
Issue 6
Journal of Risk and Financial Management
Volume 14
Issue 6
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 lattic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f3dcbfd3282f2e60886b8e8e382ca573
https://doi.org/10.3390/jrfm14060241
https://doi.org/10.3390/jrfm14060241
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
Publikováno v:
Journal of Risk & Financial Management; Jun2021, Vol. 14 Issue 6, p1-32, 32p
Publikováno v:
The Journal of Derivatives. 20:23-48
Delta hedging is the time-honored approach to option risk management, but it requires frequent rebalancing to keep the risk exposure hedged and bear the associated transactions costs. An alternative approach is to set up a static hedge portfolio, con
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f7f91078396a3282e59ca02c9e5414b4
https://doi.org/10.3905/jod.2013.20.4.023
https://doi.org/10.3905/jod.2013.20.4.023
Publikováno v:
Management Science. 59:1250-1254
Leshno and Levy [Leshno M, Levy H (2002) Preferred by “all” and preferred by “most” decision makers: Almost stochastic dominance. Management Sci. 48(8):1074–1085] established almost stochastic dominance to reveal preferences for most rather
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1d0a1aad6fc3a645b6976a0888c7bf00
https://doi.org/10.1287/mnsc.1120.1616
https://doi.org/10.1287/mnsc.1120.1616
Autor:
San-Lin Chung1 chungs@management.ntu.edu.tw, Pai-Ta Shih2 bdshih@mail.ndhu.edu.tw
Publikováno v:
Management Science. Mar2007, Vol. 53 Issue 3, p508-520. 13p. 2 Diagrams, 5 Charts, 2 Graphs.
Publikováno v:
Journal of Banking & Finance. 36:2389-2402
This study extends the works of Mauer and Sarkar (2005) and Andrikopoulos (2009) by incorporating a regime-dependent earnings-based bonus into managerial compensation. Examining the individual effects of ownership shares and earnings-based bonus comp
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1d241f8a0e79a0102cbacc0225e395a9
https://doi.org/10.1016/j.jbankfin.2012.05.002
https://doi.org/10.1016/j.jbankfin.2012.05.002