Browsing by Author "Lo, Keng-Hsin"

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Pricing European Asian options with skewness and kurtosis in the underlying distribution
(2008-06-01)
Lo, Keng-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
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.
Stock repurchase and agency problems - New evidence in Taiwan's stock market
(2008-01-01)
Lo, Keng-Hsin
;
Wang, Kehuh
;
Yeh, Chun-Tsen
;
資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
This paper explores stock repurchase and agency issues in an emerging market with special regulations. Using match samples, agency-related variables are investigated for pre- and postannouncement periods. Our empirical evidence demonstrates that stock repurchase is related to agency cost mitigation, Agency problems are also significantly related to the preannouncement undervaluation of stock repurchase, after controlling for the effects of growth opportunity and asymmetric information. Finally, a company with a higher ratio of expected repurchase or higher agency costs normally enjoys better market response upon announcement.