Jr‐Yan Wang

National Taiwan University — Taiwan

Economics, Econometrics and Finance · Social Sciences

7h-index187citations28works0.02yr avg
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Research Topics

Stochastic processes and financial applications(21), Financial Markets and Investment Strategies(9), Financial Risk and Volatility Modeling(7), Economic theories and models(7), Capital Investment and Risk Analysis(6)

Publications28 total

Hedge and Price American Options with Static Hedging Portfolio Method under Stochastic Volatility
The Journal of Derivatives·2025
Consumption-based Asset Pricing with Prospect Theory and Habit Formation
WORLD SCIENTIFIC eBooks·2025
Quantifying Risk-Loving Behavior Through Option Pricing Bounds
SSRN Electronic Journal·2025Open Access
A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model
Journal of Futures Markets·2022· 4 cited
Efficient and Robust Combinatorial Option Pricing Algorithms on the Trinomial Lattice for Polynomial and Barrier Options
Mathematical Problems in Engineering·2022· 3 citedOpen Access
An Application of Damped Diffusion for Modeling Volatility Dynamics
Journal of Financial Econometrics·2021· 1 cited
Consumption-Based Asset Pricing with Prospect Theory and Habit Formation
WORLD SCIENTIFIC eBooks·2020· 1 cited
Comment on “Aging Population, Retirement, and Risk Taking”
Management Science·2019· 9 cited
Operational asymptotic stochastic dominance
European Journal of Operational Research·2019· 3 cited
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
Using forward Monte-Carlo simulation for the valuation of American barrier options
Annals of Operations Research·2017· 4 cited
A Modified Reduced-Form Model with Time-Varying Default and Recovery Rates and Its Applications in Pricing Convertible Bonds
The Journal of Derivatives·2017· 6 cited
A Modified Reduced-Form Model with Time-Varying Default and Recovery Rates and Its Applications in Pricing Convertible Bonds
The Journal of Derivatives·2017
Rainbow trend options: valuation and applications
Review of Derivatives Research·2016· 5 cited
Erratum to: The valuation of forward-start rainbow options
Review of Derivatives Research·2015· 2 citedOpen Access
The valuation of forward-start rainbow options
Review of Derivatives Research·2014· 14 cited
A lattice model for option pricing under GARCH-jump processes
Review of Derivatives Research·2013· 6 cited
Structure of Spot Rates and Duration Hedging*
Asia-Pacific Journal of Financial Studies·2011
Loss aversion and the term structure of interest rates
Applied Economics·2011· 9 cited
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Frequent Co-authors

Mao‐Wei Hung(9), Tian‐Shyr Dai(7), San‐Lin Chung(3), Hsiao-Chuan Wang(3), Rachel J. Huang(3), Larry Y. Tzeng(3), Lin Zhao(3), Bing‐Huei Lin(3), Yi-Chen Ko(3), Liang‐Chih Liu(2), Chuan‐Ju Wang(2), Tzu‐Chun Chen(2), Chun-Ying Chen(1), Hui-Shan Wei(1), Ping-Da Wu(1), Chen‐Chiang Fan(1), Daniel Wei‐Chung Miao(1), Yung‐Hsin Lee(1), Hui‐Shan Wei(1), Lei Zhou(1)