… Yuh-Dauh Lyuu received his Ph.D. in computer science from Harvard … Lyuu has published
works in both computer science and finance. He also holds a US patent. Professor Lyuu …

The GARCH model has been very successful in capturing the serial correlation of asset
return volatilities. As a result, applying the model to options pricing attracts a lot of attention. …

Combinatorial methods prove extremely useful towards designing blazingly fast yet simple
algorithms for pricing European-style barrier options. Closedform formulae to standard …

A model with a closed-form solution is the Holy Grail of derivatives valuation, because as
computers have become increasingly powerful, exact answers to even very complicated …

A general solution is presented for any finite requestanswer game to derive its optimal
competitive ratio and optimal randomized on-line algorithm against the oblivious adversary. The …

Asian options have payoffs that depend on the average price of the underlying asset such
as stocks, commodities, or financial indices. As exact closed-form formulas do not exist for …

We show that in the KautzdigraphK (d, t) with dt+ dt− 1 vertices each having out degree d,
there exist d vertex-disjoint paths between any pair of distinct vertices, one of length at most …

Asian options are popular path-dependent financial derivatives. This paper uses lattices to
price fixed-strike European-style Asian options that are discretely monitored. The algorithm …

The price of a derivative security equals the discounted expected payoff of the security under
a suitable measure, and Greeks are price sensitivities with respect to parameters of interest…

Moving‐average‐type options are complex path‐dependent derivatives whose payoff
depends on the moving average of stock prices. This article concentrates on two such options …