Revisiting almost second-degree stochastic dominance

LY Tzeng, RJ Huang, PT Shih - Management Science, 2013 - pubsonline.informs.org
Pai-Ta Shih … Larry Tzeng and Pai-Ta Shih gratefully acknowledge financial support from
E.SUN … Huang, and Pai-Ta Shih (first published in Articles in Advance, November 28, 2012, …

Generalized cox-ross-rubinstein binomial models

SL Chung, PT Shih - Management Science, 2007 - pubsonline.informs.org
This paper generalizes the seminal Cox-Ross-Rubinstein (CRR) binomial model by adding
a stretch parameter. The generalized CRR (GCRR) model allows us to fine-tune (via the …

Static hedging and pricing American options

SL Chung, PT Shih - Journal of Banking & Finance, 2009 - Elsevier
This paper utilizes the static hedge portfolio (SHP) approach of Derman et al. [Derman, E.,
Ergener, D., Kani, I., 1995. Static options replication. Journal of Derivatives 2, 78–95] and Carr …

Real options and earnings-based bonus compensation

HH Huang, H Huang, PT Shih - Journal of Banking & Finance, 2012 - Elsevier
This study extends the works of Mauer and Sarkar (2005) and Andrikopoulos (2009) by
incorporating a regime-dependent earnings-based bonus into managerial compensation. …

VIX derivatives: Valuation models and empirical evidence

CL Lo, PT Shih, YH Wang, MT Yu - Pacific-Basin Finance Journal, 2019 - Elsevier
This study proposes an efficient approach for the pricing of VIX derivatives under the affine
framework and investigates the respective value of two variance components and variance …

Static hedging and pricing American knock-in put options

SL Chung, PT Shih, WC Tsai - Journal of Banking & Finance, 2013 - Elsevier
This paper extends the static hedging portfolio (SHP) approach of Derman et al. (1995) and
Carr et al. (1998) to price and hedge American knock-in put options under the Black–…

Static hedging and pricing American knock-out options

SL Chung, PT Shih, WC Tsai - Journal of Derivatives, 2013 - search.proquest.com
Delta hedging is the time-honored approach to option risk management, but it requires
frequent rebalancing to keep the risk exposure hedged and bear the associated transactions …

[HTML][HTML] How much do negative probabilities matter in option pricing?: A case of a lattice-based approach for stochastic volatility models

CL Tseng, DWC Miao, SL Chung, PT Shih - Journal of Risk and Financial …, 2021 - mdpi.com
In this paper, we focus on two-factor lattices for general diffusion processes with state-dependent
volatilities. Although it is common knowledge that branching probabilities must be …

A modified static hedging method for continuous barrier options

SL Chung, PT Shih, WC Tsai - Journal of Futures Markets, 2010 - Wiley Online Library
This study modifies the static replication approach of Derman, E., Ergener, D., and Kani, I. (1995,
DEK) to hedge continuous barrier options under the Black, F. and Scholes, M. (1973) …

On the rate of convergence of binomial Greeks

…, W Hung, HH Lee, PT Shih - Journal of Futures …, 2011 - Wiley Online Library
This study investigates the convergence patterns and the rates of convergence of binomial
Greeks for the CRR model and several smooth price convergence models in the literature, …