San‐Lin Chung

National Taiwan University — Taiwan

Economics, Econometrics and Finance · Social Sciences

19h-index1.1kcitations84works0.82yr avg
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Research Topics

Stochastic processes and financial applications(54), Financial Markets and Investment Strategies(36), Capital Investment and Risk Analysis(32), Financial Risk and Volatility Modeling(17), Monetary Policy and Economic Impact(14)

Publications84 total

Pension reform and equality: the impact on pension quality in old age in Taiwan
Journal of Asian Public Policy·2025
Portfolio Diversification Effect of S&P 500 Leveraged ETFs
Review of Pacific Basin Financial Markets and Policies·2025
Cross-Market Manipulation on Derivative Market Expiration Dates
The Journal of Derivatives·2025
Systemic Risk and Bank Networks: A Use of Knowledge Graph with ChatGPT
FinTech·2024· 4 citedOpen Access
Dividend-tax avoidance trade and its impact on the stock market
Pacific-Basin Finance Journal·2024
Black-Litterman Portfolio Optimization with Noisy Intermediate-Scale Quantum Computers
arXiv (Cornell University)·2023Open Access
Strategic asset allocation with distorted beliefs
International Review of Economics & Finance·2023
Dividend-Tax Arbitrage and its Impact on the Stock Market
SSRN Electronic Journal·2023Open Access
Price Manipulation on Expiration: Evidence of Taiex Futures and Options
SSRN Electronic Journal·2023Open Access
The Final Settlement Price Manipulation: Evidence of TAIEX Futures and Options
SSRN Electronic Journal·2022Open Access
Revisiting the valuation of deposit insurance
Journal of Futures Markets·2021· 5 cited
How Much Do Negative Probabilities Matter in Option Pricing?: A Case of a Lattice-Based Approach for Stochastic Volatility Models
Journal of risk and financial management·2021· 2 citedOpen Access
Volatility-of-Volatility Risk in Asset Pricing
The Review of Asset Pricing Studies·2020· 4 citedOpen Access
Semistatic hedging and pricing American floating strike lookback options
Journal of Futures Markets·2018· 1 cited
A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump‐diffusion‐ruin process
Journal of Futures Markets·2018
Investor network: Implications for information diffusion and asset prices
Pacific-Basin Finance Journal·2018· 28 cited
Investor Network: Implications for Information Diffusion and Asset Prices
SSRN Electronic Journal·2018Open Access
Pricing Stock Options with State-Dependent Jump-to-Default
2017
Option-Implied Equity Risk and the Cross Section of Stock Returns
Financial Analysts Journal·2016· 8 cited
Option-Implied Equity Risk and the Cross-Section of Stock Returns
SSRN Electronic Journal·2016Open Access
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Frequent Co-authors

Yaw‐Huei Wang(8), Wei‐Che Tsai(7), Mark B. Shackleton(7), Pai‐Ta Shih(6), Chung-Ying Yeh(5), Chuang‐Chang Chang(5), Yu‐Jen Hsiao(3), Te‐Feng Chen(3), António Câmara(3), Chi-Hsiou Daniel Hung(2), Richard C. Stapleton(2), Pei‐Shih Weng(2), Ren‐Raw Chen(2), Robin K. Chou(2), Wen-Rang Liu(2), Ji‐Chai Lin(2), Chuang-Chang Chang(2), Min‐Teh Yu(2), Hsuan‐Chi Chen(1), Keng‐Yu Ho(1)