Browsing by Author "Hsu, Ming-Feng"

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Pricing American Asian options with higher moments in the underlying distribution
(2009-01-01)
Lo, Keno-Hsin
;
Wang, Kehluh
;
Hsu, Ming-Feng
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資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
We develop a modified Edgeworth binomial model with higher moment considereation for pricing American Asian options. With lognormal underlying distribution for benchmark comparison, Our algorithm is as precise as that of Chalasani et it. [P. Chalasani., S. Jha, F. Egriboyun, A. Varikooty, A refined binomial lattice for American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85-105] if the number of the time steps increases. If the underlying distribution displays negative skewness and leptokurtosis as often observed for stock index returns, Our estimates can work better than those in Chalasani et al. 111. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined biomial lattice for pricing American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85-105] and are very similar to the benchmarks in Hull and White [J. Hull A. White, Efficient procedures for valuing European Our modified and American path-dependent options. J. Derivatives I (Fall) (1993) 21-31]. The numerical analysis shows that Edgeworth binomial model can value American Asian options with greater accuracy and speed given higher moments in their underlying distribution. (C) 2008 Elsevier B.V. All rights reserved.
Pricing European Asian options with skewness and kurtosis in the underlying distribution
(2008-06-01)
Lo, Keng-Hsin
;
Wang, Kehluh
;
Hsu, Ming-Feng
;
資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
Numerical valuation model is extended for European Asian options while considering the higher moments of the underlying asset return distribution. The Edgeworth binomial lattice is applied and the lower and upper bounds of the option value are calculated. That the error bound in pricing Asian options from the Edgeworth binomial model is smaller than the error bound model by Chalasani et al. is shown. The approach is used to price the average rate currency option with different skewness and kurtosis. The numerical results show that this approach can effectively deal with the higher moments of the underlying distribution and provide better estimates of option value compared with various studies in literature. (c) 2008 Wiley Periodicals, Inc.
The Level and Stability of Institutional Ownership and Firm Performance: Evidence from Taiwan
(2014-03-01)
Hsu, Ming-Feng
;
Wang, Kehluh
;
交大名義發表
;
資訊管理與財務金融系註：原資管所+財金所
;
National Chiao Tung University
The purpose of this paper is to investigate the influence of shareholding stability of institutional investors on firm performance. We analyze 647 sample companies listed in the Taiwan Stock Exchange from 2005 to 2009 using the coefficient of variance of institutional holding proportion as the measure for ownership stability. The empirical results show that increasing stability of institutional holdings is related to better firm performance. The low-risk and younger firms with higher CEO incentive compensation, larger insider holdings, and higher growth usually have better performance. Furthermore, when the long-term institutional shareholdings, particularly of foreign institutions, are higher, the firm performance is better.