Pricing vulnerable options in incomplete markets

Article Abstract:

A model is proposed to obtain a vulnerable option pricing formula in an incomplete market. The proposed formula overcomes the drawbacks in other models. The performance of the proposed model under different interest rate assumptions, including deterministic and stochastic interest rates is examined.

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Pricing of moving-average-type options with applications

Article Abstract:

Two moving-average-type options, namely the moving-average-lookback option and moving-average-reset option, are studied. Effective algorithms for pricing geometric and arithmetic moving-average-lookback options are presented.

Forecasts, trends, outlooks, Forecasts and trends, Stock options, Market trend/market analysis

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Transaction tax and market quality of the Taiwan stock index futures

Article Abstract:

With reference to the Taiwan Futures Exchange, the impact of reduction in tax rates related to futures transactions on various aspects of futures markets is analyzed.

Taiwan, Security brokers and dealers, Taxes, Securities & Commodities Services, Securities, Commodity Contracts, and Other Financial Investments and Related Activities, Case studies, Taxation, Securities industry, Futures, Taiwan Futures Exchange

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