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    Article

    Asymptotic analyses for trend-stationary pairs trading strategy in high-frequency trading

    Conventional pairs trading strategies (PTS) exploit the mean-reverting nature of stock pairs with stationary value processes. This paper elevates PTS by integrating trend-stationary value processes, thereby en...

    Tian-Shyr Dai, Yi-Jen Luo, Hao-Han Chang… in Review of Quantitative Finance and Account… (2024)

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    Article

    Analytical pricing formulae for vulnerable vanilla and barrier options

    This paper proposes analytically vulnerable vanilla option pricing formulae that simultaneously consider the premature default, the correlation between the underlying asset and the issuer’s asset, and other ou...

    Liang-Chih Liu, Chun-Yuan Chiu… in Review of Quantitative Finance and Account… (2022)