H.-J. Lyuu: search on Z-Library

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1

The Bino-Trinomial Tree: A Simple Model for Efficient and Accurate Option Pricing

Dai, Tian-Shyr, Lyuu, Yuh-Dauh

Journal:

The Journal of Derivatives

Year:

2010

Language:

english

File:

PDF, 1018 KB

english, 2010

2

A General Computational Method for Calibration Based on Differential Trees

Journal:

The Journal of Derivatives

Year:

1999

Language:

english

File:

PDF, 346 KB

english, 1999

3

Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes

Chiu, Chun-Yuan, Dai, Tian-Shyr, Lyuu, Yuh-Dauh

Journal:

Applied Mathematics and Computation

Year:

2015

Language:

english

File:

PDF, 741 KB

english, 2015

4

Very Fast Algorithms for Barrier Option Pricing and the Ballot Problem

Journal:

The Journal of Derivatives

Year:

1998

Language:

english

File:

PDF, 1.72 MB

english, 1998

5

A Closed-Form Formula for an Option with Discrete and Continuous Barriers

Chen, Chun-Ying, Chou, Pei-Ju, Yu-Shun Hsu, Jeff, Po-Hong Liu, Wisely, Lyuu, Yuh-Dauh, Wang, Chuan-Ju

Journal:

Communication in Statistics- Theory and Methods

Year:

2010

Language:

english

File:

PDF, 178 KB

english, 2010

6

An improved combinatorial approach for pricing Parisian options

Yuh-Dauh Lyuu, Cheng-Wei Wu

Journal:

Decisions in Economics and Finance

Year:

2010

Language:

english

File:

PDF, 250 KB

english, 2010

7

An expanded model for the valuation of employee stock options

Feng-Yu Liao, Yuh-Dauh Lyuu

Journal:

Journal of Futures Markets

Year:

2009

Language:

english

File:

PDF, 437 KB

english, 2009

8

A New Robust Kalman Filter for Filtering the Microstructure Noise

Tsai, Yun-Cheng, Lyuu, Yuh-Dauh

Journal:

Communication in Statistics- Theory and Methods

Year:

2016

Language:

english

File:

PDF, 450 KB

english, 2016

9

A convergent quadratic-time lattice algorithm for pricing European-style Asian options

William Wei-Yuan Hsu, Yuh-Dauh Lyuu

Journal:

Applied Mathematics and Computation

Year:

2007

Language:

english

File:

PDF, 701 KB

english, 2007

10

On accurate and provably efficient GARCH option pricing algorithms

Lyuu *, Yuh-Dauh, Wu, Chi-Ning

Journal:

Quantitative Finance

Year:

2005

Language:

english

File:

PDF, 1012 KB

english, 2005

11

Pricing of moving-average-type options with applications

Chih-Hao Kao, Yuh-Dauh Lyuu

Journal:

Journal of Futures Markets

Year:

2003

Language:

english

File:

PDF, 200 KB

english, 2003

12

Faster Convergence to the Estimation of Quadratic Variation with Microstructure Noise

Tsai, Yun-Cheng, Lyuu, Yuh-Dauh

Journal:

Communication in Statistics- Theory and Methods

Year:

2015

Language:

english

File:

PDF, 326 KB

english, 2015

13

Evaluating corporate bonds with complicated liability structures and bond provisions

Wang, Chuan-Ju, Dai, Tian-Shyr, Lyuu, Yuh-Dauh

Journal:

European Journal of Operational Research

Year:

2014

Language:

english

File:

PDF, 673 KB

english, 2014

14

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Collateralized Mortgage Obligations

Year:

2001

Language:

english

File:

PDF, 478 KB

english, 2001

15

The waterline tree for separable local-volatility models

Lok, U Hou, Lyuu, Yuh-Dauh

Journal:

Computers & Mathematics with Applications

Year:

2017

Language:

english

File:

PDF, 1.45 MB

english, 2017

16

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Bond Price Volatility

Year:

2001

Language:

english

File:

PDF, 554 KB

english, 2001

17

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Answers to Selected Exercises

Year:

2001

Language:

english

File:

PDF, 932 KB

english, 2001

18

[IEEE 2012 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) - New York City, NY, USA (2012.03.29-2012.03.30)] 2012 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) - Pricing discrete Asian barrier options on lattices

Hsu, William W. Y., Lu, Cheng-Yu, Kao, Ming-Yang, Lyuu, Yuh-Dauh, Ho, Jan-Ming

Year:

2012

Language:

english

File:

PDF, 186 KB

english, 2012

19

A systematic and efficient simulation scheme for the Greeks of financial derivatives

Lyuu, Yuh-Dauh, Teng, Huei-Wen, Tseng, Yao-Te, Wang, Sheng-Xiang

Journal:

Quantitative Finance

Year:

2019

File:

PDF, 830 KB

2019

20

Optimal Buy-and-Hold Strategies for Financial Markets with Bounded Daily Returns

Chen, Gen-Huey, Kao, Ming-Yang, Lyuu, Yuh-Dauh, Wong, Hsing-Kuo

Journal:

SIAM Journal on Computing

Year:

2001

Language:

english

File:

PDF, 180 KB

english, 2001

21

SETS OF K-INDEPENDENT STRINGS

TI, YEN-WU, CHANG, CHING-LUEH, LYUU, YUH-DAUH, SHEN, ALEXANDER

Journal:

International Journal of Foundations of Computer Science

Year:

2010

Language:

english

File:

PDF, 142 KB

english, 2010

22

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Trees

Year:

2001

Language:

english

File:

PDF, 531 KB

english, 2001

23

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Glossary of Useful Notations

Year:

2001

File:

PDF, 299 KB

2001

24

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Option Basics

Year:

2001

File:

PDF, 493 KB

2001

25

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Numerical Methods

Year:

2001

Language:

english

File:

PDF, 634 KB

english, 2001

26

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Hedging

Year:

2001

Language:

english

File:

PDF, 401 KB

english, 2001

27

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Arbitrage in Option Pricing

Year:

2001

File:

PDF, 391 KB

2001

28

Planar-optical mesh-connected tree interconnects: a feasibility study

Li, Yao, Linke, Richard A., Lyuu, Yuh-Dauh, Kawai, Shigeru, Kubota, Keiichi, Kasahara, Kenichi

Journal:

Year:

1995

Language:

english

File:

PDF, 844 KB

english, 1995

29

The Electro-Optical Property of Guest-Host PDFLC Film Containing Anthraquinone Dye

Chen, Chih-Chun, Lyuu, Jier-Fu, Lee, Jiunn-Yih

Journal:

Molecular Crystals and Liquid Crystals

Year:

2005

Language:

english

File:

PDF, 256 KB

english, 2005

30

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Interest Rate Derivative Securities

Year:

2001

Language:

english

File:

PDF, 508 KB

english, 2001

31

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Matrix Computation

Year:

2001

Language:

english

File:

PDF, 456 KB

english, 2001

32

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Option Pricing Models

Year:

2001

File:

PDF, 712 KB

2001

33

On the diameter vulnerability of Kautz digraphs

D.Z. Du, D.F. Hsu, Y.D. Lyuu

Journal:

Discrete Mathematics

Year:

1996

Language:

english

File:

PDF, 223 KB

english, 1996

34

Fast fault-tolerant parallel communication and on-line maintenance for hypercubes using information dispersal

Journal:

Theory of Computing Systems

Year:

1991

Language:

english

File:

PDF, 1.23 MB

english, 1991

35

The complexity of Tarski’s fixed point theorem

Ching-Lueh Chang, Yuh-Dauh Lyuu, Yen-Wu Ti

Journal:

Theoretical Computer Science

Year:

2008

Language:

english

File:

PDF, 408 KB

english, 2008

36

The Measurement of Response Time in Polymer Dispersed Liquid Crystals (PDLC) Receiving Dual Frequency Stimulation

Hsiao, Jen-Chen, Lyuu, Jier-Fu, Lee, Jiunn-Yih

Journal:

Molecular Crystals and Liquid Crystals

Year:

2004

Language:

english

File:

PDF, 254 KB

english, 2004

37

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Time Series Analysis

Year:

2001

Language:

english

File:

PDF, 402 KB

english, 2001

38

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Sensitivity Analysis of Options

Year:

2001

File:

PDF, 427 KB

2001

39

Accurate and efficient lattice algorithms for American-style Asian options with range bounds

Tian-Shyr Dai, Yuh-Dauh Lyuu

Journal:

Applied Mathematics and Computation

Year:

2009

Language:

english

File:

PDF, 370 KB

english, 2009

40

Optimal bounds on finding fixed points of contraction mappings

Ching-Lueh Chang, Yuh-Dauh Lyuu

Journal:

Theoretical Computer Science

Year:

2010

Language:

english

File:

PDF, 313 KB

english, 2010

41

The Anchoring Energy Coefficient of Dye Guest-Host Ferroelectric Liquid Crystals

Lyuu, Jier-Fu, Chen, Chih-Chun, Lee, Jiunn-Yih

Journal:

Molecular Crystals and Liquid Crystals Science and Technology Section A Molecular Crystals and Liquid Crystals

Year:

1999

Language:

english

File:

PDF, 519 KB

english, 1999

42

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Term Structure Fitting

Year:

2001

Language:

english

File:

PDF, 377 KB

english, 2001

43

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Extensions of Options Theory

Year:

2001

File:

PDF, 579 KB

2001

44

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Introduction to Term Structure Modeling

Year:

2001

Language:

english

File:

PDF, 516 KB

english, 2001

45

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Stochastic Processes and Brownian Motion

Year:

2001

File:

PDF, 422 KB

2001

46

Fast fault-tolerant parallel communication for de bruijn and digit-exchange networks using information dispersal

Journal:

Year:

1993

Language:

english

File:

PDF, 1.06 MB

english, 1993

47

An Electrochemical Cell Coupled with Disposable Screen-Printed Electrodes for Use in Flow Injection Analysis

HSU, Cheng-Teng, CHUNG, Hsieh-Hsun, LYUU, Huieh-Jing, TSAI, Dong-Mung, KUMAR, Annamalai Senthil, ZEN, Jyh-Myng

Journal:

Analytical Sciences

Year:

2006

Language:

english

File:

PDF, 142 KB

english, 2006

48

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Foundations of Term Structure Modeling

Year:

2001

Language:

english

File:

PDF, 411 KB

english, 2001

49

Financial Engineering and Computation (Principles, Mathematics, Algorithms) || Continuous-Time Financial Mathematics

Year:

2001

File:

PDF, 456 KB

2001

50

An efficient and accurate lattice for pricing derivatives under a jump-diffusion process

Tian-Shyr Dai, Chuan-Ju Wang, Yuh-Dauh Lyuu, Yen-Chun Liu

Journal:

Applied Mathematics and Computation

Year:

2010

Language:

english

File:

PDF, 665 KB

english, 2010

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