Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics
Lian, Yu-Min, Chen, Jun-Home, Liao, Szu-Lang
Published in International review of economics & finance (01.06.2024)
Published in International review of economics & finance (01.06.2024)
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Journal Article
Cojump risks and their impacts on option pricing
Lian, Yu-Min, Chen, Jun-Home, Liao, Szu-Lang
Published in The Quarterly review of economics and finance (01.02.2021)
Published in The Quarterly review of economics and finance (01.02.2021)
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Journal Article
Portfolio selection in a multi-asset, incomplete-market economy
Lian, Yu-Min, Chen, Jun-Home
Published in The Quarterly review of economics and finance (01.02.2019)
Published in The Quarterly review of economics and finance (01.02.2019)
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Journal Article
Joint dynamic modeling and option pricing in incomplete derivative-security market
Lian, Yu-Min, Chen, Jun-Home
Published in The North American journal of economics and finance (01.01.2020)
Published in The North American journal of economics and finance (01.01.2020)
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Journal Article
State-dependent jump risks for American gold futures option pricing
Lian, Yu-Min, Liao, Szu-Lang, Chen, Jun-Home
Published in The North American journal of economics and finance (01.07.2015)
Published in The North American journal of economics and finance (01.07.2015)
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Journal Article