Browsing by Author "Hung, Mao-Wei"

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A GENERALIZATION OF THE BARONE-ADESI AND WHALEY APPROACH FOR THE ANALYTIC APPROXIMATION OF AMERICAN OPTIONS
(2009-05-01)
Guo, Jia-Hau
;
Hung, Mao-Wei
;
So, Leh-Chyan
;
管理學院
;
College of Management
This article introduces a general quadratic approximation scheme for pricing American options based on stochastic volatility and double jump processes. This quadratic approximation scheme is a generalization of the Barone-Adesi and Whaley approach and nests several option models. Numerical results show that this quadratic approximation scheme is efficient and useful in pricing American options. (c) 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:478-493, 2009
A Generalization of the Recursive Integration Method for the Analytic Valuation of American Options
(2016-09)
Chang, Lung-Fu
;
Guo, Jia-Hau
;
Hung, Mao-Wei
;
管理學院
;
College of Management
This article provides a general accelerated recursive integration method for pricing American options based on stochastic volatility and double jump processes. Our proposed model is a generalization of the recursive integral representation method. American option prices can be evaluated by the sum of a corresponding European option price and an early exercise premium integral. Numerical results show that our proposed method is efficient and accuracy in pricing American options with stochastic volatility and double jump processes. (C) 2015 Wiley Periodicals, Inc.
Limit hits and informationally-related stocks
(2017-06-01)
Guo, Jia-Hau
;
Chang, Lung-Fu
;
Hung, Mao-Wei
;
管理學院
;
College of Management
We propose a method of propensity score matching to study limit hits on connected TWSE-listed stocks across industries between 1/1/2004 and 12/31/2013. The findings show significant liquidity and price impacts on connected stocks. We demonstrate that informed traders may trade connected stocks as a substitution for the hitting stock, and connected stocks seem to provide alternatives for uninformed traders to reverse their suboptimal trades even prior to the hit. In addition, our results indicate that liquidity impacts of limit hits with less information asymmetry are weaker and there is a common liquidity response of connected stocks to firm-specific limit hits. (C) 2017 Elsevier B.V. All rights reserved.