Zobrazeno 1 - 9
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pro vyhledávání: '"Wan-Ling Chao"'
Autor:
Wan-Ling Chao, 趙婉伶
103
This dissertation considers two extensions of jump-diffusion models to incorporate the serially correlated jump sizes and discusses their applications in options pricing and hedging portfolios. In the first part of this study, we propose a j
This dissertation considers two extensions of jump-diffusion models to incorporate the serially correlated jump sizes and discusses their applications in options pricing and hedging portfolios. In the first part of this study, we propose a j
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/25955359095962101333
Autor:
Wan-Ling Chao, 趙婉伶
96
This study proposes employing various asymmetric multivariate models to formulate optimal dynamic hedging strategy. To construct optimal dynamical hedging ratio, two types of the asymmetric models, namely the conditional correlation model and
This study proposes employing various asymmetric multivariate models to formulate optimal dynamic hedging strategy. To construct optimal dynamical hedging ratio, two types of the asymmetric models, namely the conditional correlation model and
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/4qw4zp
Publikováno v:
International Journal of Engineering & Technology Innovation; Apr2024, Vol. 14 Issue 2, p177-188, 12p
Publikováno v:
Communications in Statistics - Theory and Methods. 47:953-979
This paper extends the classical jump-diffusion option pricing model to incorporate serially correlated jump sizes which have been documented in recent empirical studies. We model the series of jum...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b9e957c6db1e1b66daa3ab7f9bb50867
https://doi.org/10.1080/03610926.2017.1315731
https://doi.org/10.1080/03610926.2017.1315731
Publikováno v:
Computers & Operations Research. 65:111-124
In the queueing literature, an arrival process with random arrival rate is usually modeled by a Markov-modulated Poisson process (MMPP). Such a process has discrete states in its intensity and is able to capture the abrupt changes among different reg
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cc689e087ff062d4d0b35ac12f0d2cfb
https://doi.org/10.1016/j.cor.2015.06.015
https://doi.org/10.1016/j.cor.2015.06.015
Publikováno v:
Journal of Futures Markets. 35:1154-1172
One consequence of near zero global interest rates is that American put options are unlikely to be exercised early, making them almost indistinguishable from their European counterparts. This study examines the dependence of the early exercise probab
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7af8150a9a96f9fbd4ed9f7d77096ffc
https://doi.org/10.1002/fut.21700
https://doi.org/10.1002/fut.21700
Publikováno v:
Operations Research Letters. 42:27-33
We propose a jump-diffusion model where the bivariate jumps are serially correlated with a mean-reverting structure. Mathematical analysis of the jump accumulation process is given, and the European call option price is derived in analytical form. Th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b6d8e020f472e389efbeb1249df30041
https://doi.org/10.1016/j.orl.2013.11.004
https://doi.org/10.1016/j.orl.2013.11.004
Computational analysis of a Markovian queueing system with geometric mean-reverting arrival process.
Publikováno v:
Computers & Operations Research. Jan2016, Vol. 65, p111-124. 14p.
Autor:
Wan Ling Chao, 趙婉伶
97
Zizyphus jujuba is always considered as traditional Chinese herb and food rich in nutrients and has been reported to possess many functions, including anti-tumor, antioxidant and immunity regulation. Among the functional components, polysacch
Zizyphus jujuba is always considered as traditional Chinese herb and food rich in nutrients and has been reported to possess many functions, including anti-tumor, antioxidant and immunity regulation. Among the functional components, polysacch
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/10321147893406355293