Tian-Shyr Dai

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk Quantitative Finance	2023-09-25	Paper
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes Quantitative Finance	2022-11-18	Paper
Pricing fair deposit insurance: structural model approach Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning	2020-12-09	Paper
Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes Applied Mathematics and Computation	2016-06-21	Paper
Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks Insurance Mathematics & Economics	2015-09-14	Paper
An exact subexponential-time lattice algorithm for Asian options	2015-08-03	Paper
Pricing barrier stock options with discrete dividends by approximating analytical formulae Quantitative Finance	2015-04-16	Paper
Evaluating corporate bonds with complicated liability structures and bond provisions European Journal of Operational Research	2015-02-04	Paper
A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions Insurance Mathematics & Economics	2014-04-03	Paper
An efficient and accurate lattice for pricing derivatives under a jump-diffusion process Applied Mathematics and Computation	2010-12-20	Paper
Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree Quantitative Finance	2009-12-07	Paper
Adaptive placement method on pricing arithmetic average options Review of Derivatives Research	2009-06-19	Paper
Accurate and efficient lattice algorithms for American-style Asian options with range bounds Applied Mathematics and Computation	2009-03-30	Paper
Linear-time option pricing algorithms by combinatorics Computers & Mathematics with Applications	2008-05-05	Paper
An Efficient, and Fast Convergent Algorithm for Barrier Options Algorithmic Aspects in Information and Management	2008-01-04	Paper
An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options Algorithmic Aspects in Information and Management	2008-01-04	Paper
An exact subexponential-time lattice algorithm for Asian options Acta Informatica	2007-04-26	Paper
An efficient convergent lattice algorithm for European Asian options Applied Mathematics and Computation	2005-11-14	Paper
Efficient, exact algorithms for Asian options with multiresolution lattices Review of Derivatives Research	2003-12-09	Paper

Research outcomes over time

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