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    Article

    Foreign exchange option pricing in the currency cycle with jump risks

    This paper examines regime switching behavior and the nature of jumps in foreign exchange rates, as well as their implications in currency option pricing. Considering the characteristics of long swing as well ...

    Chien-Hsiu Lin, Shih-Kuei Lin, An-Chi Wu in Review of Quantitative Finance and Accounting (2015)

  2. Article

    Optimal carry trade portfolio choice under regime shifts

    This paper studies optimal currency allocation of the carry trade in foreign exchange (FX). A number of empirical studies have documented a phenomenon referred to as the ‘forward premium puzzle’, which states ...

    Chih-Nan Chen, Chien-Hsiu Lin in Review of Quantitative Finance and Accounting (2022)

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