研究成果

第 1 到 23 筆結果，共 23 筆。

公開日期標題作者來源出版物scopusWOS全文
12022Estimating the Implicit Market Model from Option PricesBing-Huei Lin; Dean Paxson; Jr Yan Wang ; Mei-Mei Kuo證券市場發展季刊0
22022Efficient and Robust Combinatorial Option Pricing Algorithms on the Trinomial Lattice for Polynomial and Barrier OptionsJR-YAN WANG ; Wang, Chuan Ju; Dai, Tian Shyr; Chen, Tzu Chun; Liu, Liang Chih; Zhou, LeiMathematical Problems in Engineering11
32022A stochastic-volatility equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first-passage default modelDai, TS; Fan, CC; Liu, LC; Wang, CJ; JR-YAN WANG Journal of Futures Markets00
42020Consumption-based asset pricing with prospect theory and habit formationWang, J.-Y.; JR-YAN WANG ; MAO-WEI HUNG Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (In 4 Volumes)00
52020Operational asymptotic stochastic dominanceHuang, R.J.; Tzeng, L. ; Wang, J.-Y. ; Zhao, LinEuropean Journal of Operational Research33
62020Comment on “aging population, retirement, and risk taking”Huang, R.J.; Tzeng, L.Y.; Wang, J.-Y.; JR-YAN WANG ; Tzeng Larry Yu Ren Management Science33
72019Semistatic hedging and pricing American floating strike lookback optionsChung S.-L. ; Huang Y.-T.; Shih P.-T. ; JR-YAN WANG Journal of Futures Markets11
82018A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump-diffusion-ruin processChung S.-L. ; JR-YAN WANG Journal of Futures Markets00
92018Using forward Monte-Carlo simulation for the valuation of American barrier optionsMiao, D.W.-C.; Lee, Y.-H.; JR-YAN WANG Annals of Operations Research
102017Rainbow trend options: valuation and applicationsJR-YAN WANG ; Wang, H.-C.; Ko, Y.-C.; MAO-WEI HUNG Review of Derivatives Research35
112017A modified reduced-form model with time-varying default and recovery rates and its applications in pricing convertible bondsJR-YAN WANG ; Dai, T.-S.Journal of Derivatives
122015The valuation of forward-start rainbow optionsChen, C.-Y.; Wang, H.-C.; JR-YAN WANG Review of Derivatives Research
132015Erratum to: The valuation of forward-start rainbow options (Review of Derivatives Research, 10.1007/s11147-014-9105-0)Chen, C.-Y.; Wang, H.-C.; JR-YAN WANG Review of Derivatives Research
142013A lattice model for option pricing under GARCH-jump processesLin, B.-H.; MAO-WEI HUNG ; JR-YAN WANG ; Wu, Ping-DaReview of Derivatives Research33
152011Loss aversion and the term structure of interest ratesHung, M.-W.; JR-YAN WANG ; MAO-WEI HUNG Applied Economics22
162011Structure of spot rates and duration hedgingLin, B.-H.; JR-YAN WANG ; Tai, S.-W.Asia-Pacific Journal of Financial Studies
172010Tight bounds on American option pricesChung S.-L. ; Hung M.-W.; JR-YAN WANG ; MAO-WEI HUNG Journal of Banking and Finance2015
182008Variance reduction for multivariate Monte Carlo simulationWang, J.-Y.; Hung, M. W.; Wang, J. Y.; JR-YAN WANG Journal of Derivatives23
192008Adaptive Placement Method on Pricing Arithmetic Average OptionsDai, Tian-Shyr; Wang, Jr-Yan ; Wei, Hui-ShanReview of Derivatives Research66
202007An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average OptionsTian-Shyr Dai; JR-YAN WANG ; Hui-Shan WeiAlgorithmic Aspects in Information and Management20
212007An ingenious, piecewise linear interpolation algorithm for pricing arithmetic average optionsDai, T.-S.; JR-YAN WANG ; Wei, H.-S.Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
222005Asset Price under Prospect Theory and Habit FormationHung, Mao-Wei ; Wang, Jr-Yan Review of Pacific Basin Financial Markets and Policies70
232002Pricing Convertible Bonds Subject to Default RiskJR-YAN WANG ; MAO-WEI HUNG Journal of Derivatives