We propose new momentum strategies based on the Almost Stochastic Dominance rules.
Relative to classic momentum, our novel strategy achieves better risk-adjusted performance, …

We consider the valuation of European quanto call options in an incomplete market where
the domestic and foreign forward interest rates are allowed to exhibit regime shifts under the …

Importance sampling (IS), as an efficiency improvement technique for Monte Carlo simulations,
is particularly well-suited for correlation products which have payoffs contingent on the …

Extending the framework of Amin and Jarrow (J Int Money Financ 10:310–329, 1991 ) and
Bo et al. (Insur Math Econ 46:461–469, 2010 ), this study provides a theoretical exploration of …

This study proposes an innovative approach to value American options. Using a portfolio of
binary power options to replicate the early exercise premium, we modify Medvedev and …

Much known about Treasury inflation-protected securities (TIPS) is related to the hedge they
offer against inflation, but little is known about their protection against deflation—in the form …

A moneyness‐based propensity to sell (MPS) measure, at the aggregate level, determines
the propensity of option holders to exercise their winning relative to losing positions. Using …

A trading rule that draws on the similarity-based analogical reasoning is proposed in an
attempt to simulate the technical trading mentality—one that selectively perceives structural …

Using a data sample of 93 Chinese reverse-merger (CRM) firms listed in the US over the
period from 2000 to 2011, we find supporting evidence of poorer financial reporting quality …

This paper adopts the almost stochastic dominance (ASD) rules as the criteria for selecting
winners and losers in the construction of zero&cost momentum strategies. Using US stock …