Daniel Wei-Chung Miao

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
Option pricing under a double-exponential jump-diffusion model with varying severity of jumps Probability in the Engineering and Informational Sciences	2025-07-03	Paper
Extending the intensity model with joint defaults to incorporate the lasting effects from common credit events Applied Stochastic Models in Business and Industry	2024-07-18	Paper
Option pricing when asset returns jump interruptedly Applied Stochastic Models in Business and Industry	2024-07-10	Paper
Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility Mathematical Methods of Operations Research	2022-02-11	Paper
Modelling DAX by applying parabola approximation method International Journal of Computing Science and Mathematics	2021-02-03	Paper
Corrected discrete approximations for multiple window scan statistics of one-dimensional Poisson processes Methodology and Computing in Applied Probability	2020-05-04	Paper
Applications of linear ordinary differential equations and dynamic system to economics - an example of Taiwan stock index TAIEX International Journal of Dynamical Systems and Differential Equations	2020-01-23	Paper
A note on the never-early-exercise region of American power exchange options Operations Research Letters	2018-09-28	Paper
Corrected discrete approximations for the conditional and unconditional distributions of the continuous scan statistic Journal of Applied Probability	2018-09-26	Paper
Option pricing under jump-diffusion models with mean-reverting bivariate jumps Operations Research Letters	2018-08-27	Paper
Using forward Monte-Carlo simulation for the valuation of American barrier options Annals of Operations Research	2018-06-12	Paper
Analysis of a jump-diffusion option pricing model with serially correlated jump sizes Communications in Statistics: Theory and Methods	2018-04-11	Paper
Computational analysis of a Markovian queueing system with geometric mean-reverting arrival process Computers & Operations Research	2016-11-17	Paper
scientific article; zbMATH DE number 6605889 (Why is no real title available?)	2016-07-25	Paper
A standardized normal-Laplace mixture distribution fitted to symmetric implied volatility smiles Communications in Statistics. Simulation and Computation	2016-07-14	Paper
Sample-path analysis of general arrival queueing systems with constant amount of work for all customers Queueing Systems	2014-11-14	Paper
Second-order performance analysis of discrete-time queues fed by DAR(2) sources with a focus on the marginal effect of the additional traffic parameter Applied Stochastic Models in Business and Industry	2014-05-06	Paper
Analysis of the discrete Ornstein-Uhlenbeck process caused by the tick size effect Journal of Applied Probability	2014-04-04	Paper
On the variances of system size and sojourn time in a discrete-time \(DAR(1)/D/1\) queue Probability in the Engineering and Informational Sciences	2012-05-24	Paper

Research outcomes over time

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