Retrieving almost stochastic Dominance momentum in Taiwan stock market
We propose new momentum strategies based on the Almost Stochastic Dominance rules.
Relative to classic momentum, our novel strategy achieves better risk-adjusted performance, …
Relative to classic momentum, our novel strategy achieves better risk-adjusted performance, …
Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model
SN Chen, MH Chiang, PP Hsu, CY Li - Finance Research Letters, 2014 - Elsevier
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 …
the domestic and foreign forward interest rates are allowed to exhibit regime shifts under the …
An efficient algorithm for basket default swap valuation
MH Chiang, ML Yueh, MH Hsieh - Journal of Derivatives, 2007 - search.proquest.com
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 …
is particularly well-suited for correlation products which have payoffs contingent on the …
Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy
MH Chiang, CY Li, SN Chen - Review of Quantitative Finance and …, 2016 - Springer
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 …
Bo et al. (Insur Math Econ 46:461–469, 2010 ), this study provides a theoretical exploration of …
[PDF][PDF] Analytical approximations for American options: The binary power option approach
MH Chiang, HH Fu, YT Huang, CL Lo, PT Shih - J. Financ. Stud, 2018 - academia.edu
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 …
binary power options to replicate the early exercise premium, we modify Medvedev and …
Pricing the deflation protection option in TIPS using an HJM model with inflation-and interest-rate jumps
MC Chuang, SK Lin, MH Chiang - The Journal of Derivatives, 2018 - jod.pm-research.com
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 …
offer against inflation, but little is known about their protection against deflation—in the form …
Relevance of the disposition effect on the options market: New evidence
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 …
the propensity of option holders to exercise their winning relative to losing positions. Using …
Predictive ability of similarity-based futures trading strategies
MH Chiang, HY Chiu, WY Kuo - Pacific-Basin Finance Journal, 2021 - Elsevier
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 …
attempt to simulate the technical trading mentality—one that selectively perceives structural …
Are investors always compensated for information risk? Evidence from Chinese reverse-merger firms
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 …
period from 2000 to 2011, we find supporting evidence of poorer financial reporting quality …
[PDF][PDF] Momentum strategies: An almost stochastic dominance approach
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 …
winners and losers in the construction of zero&cost momentum strategies. Using US stock …