Daniel Wei-Chung Miao

11 papers Journal 11
YearRankTypeTitle / Venue / Authors
2021 J jnl
Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility.
Math. Methods Oper. Res.
Daniel Wei-Chung Miao, Xenos Chang-Shuo Lin, Changyao Lin
2019 J jnl
Modelling DAX by applying parabola approximation method.
Int. J. Comput. Sci. Math.
Meng-Rong Li, Daniel Wei-Chung Miao, Tsung-Jui Chiang-Lin, Yong-Shiuan Lee
2018 J jnl
Using forward Monte-Carlo simulation for the valuation of American barrier options.
Ann. Oper. Res.
Daniel Wei-Chung Miao, Yung-Hsin Lee, Jr-Yan Wang
2017 J jnl
Corrected discrete approximations for the conditional and unconditional distributions of the continuous scan statistic.
J. Appl. Probab.
Yi-Ching Yao, Daniel Wei-Chung Miao, Xenos Chang-Shuo Lin
2016 J jnl
A Standardized Normal-Laplace Mixture Distribution Fitted to Symmetric Implied Volatility Smiles.
Commun. Stat. Simul. Comput.
Daniel Wei-Chung Miao, Hsiu-Chun Lee, Hung Chen
2016 J jnl
A note on the never-early-exercise region of American power exchange options.
Oper. Res. Lett.
Daniel Wei-Chung Miao, Xenos Chang-Shuo Lin, Steve Hsin-Ting Yu
2016 J jnl
Computational analysis of a Markovian queueing system with geometric mean-reverting arrival process.
Comput. Oper. Res.
Daniel Wei-Chung Miao, Xenos Chang-Shuo Lin, Wan-Ling Chao
2014 J jnl
Option pricing under jump-diffusion models with mean-reverting bivariate jumps.
Oper. Res. Lett.
Daniel Wei-Chung Miao, Xenos Chang-Shuo Lin, Wan-Ling Chao
2014 J jnl
Sample-path analysis of general arrival queueing systems with constant amount of work for all customers.
Queueing Syst. Theory Appl.
Yi-Ching Yao, Daniel Wei-Chung Miao
2013 J jnl
A generalised Little's law and its applications for a discrete-time G/D/1 queue with correlated arrivals.
J. Oper. Res. Soc.
Daniel Wei-Chung Miao, H. Chen
2013 J jnl
Analysis of the Discrete Ornstein-Uhlenbeck Process Caused by the Tick Size Effect.
J. Appl. Probab.
Daniel Wei-Chung Miao