Yisong S. Tian

York University - Schulich School of Business

Professor of Finance

4700 Keele Street

Toronto, Ontario M3J 1P3

Canada

  • York University - Schulich School of Business

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    • Tel: 416-736-2100, ext 77943
    • Fax: 416-736-5687
SCHOLARLY PAPERS

28

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149

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246

Scholarly Papers (28)

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1.

Extracting Model-Free Volatility from Option Prices: An Examination of the VIX Index

Journal of Derivatives, Vol. 14, No. 3, 2007
Number of pages: 41 Posted: 08 Feb 2006 Last Revised: 01 May 2014
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 3,938 (4,309)
Citation 20

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volatility index, VIX, investor fear gauge, volatility smile, fair value of future variance, model-free implied volatility

2.

Managerial Incentives and Corporate Fraud: The Sources of Incentives Matter

EFA 2006 Zurich Meetings
Number of pages: 40 Posted: 02 Jun 2006 Last Revised: 18 Oct 2011
Shane A. Johnson, Harley E. Ryan and Yisong S. Tian
Texas A&M University - Department of Finance, Georgia State University - Department of Finance and York University - Schulich School of Business
Downloads 3,668 (4,880)
Citation 65

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corporate fraud, incentives, stock options, executive compensation, governance

3.

The Model-Free Implied Volatility and Its Information Content

Review of Financial Studies 18(4), 1305-1342, 2005
Number of pages: 38 Posted: 18 Feb 2013
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 1,312 (24,803)
Citation 65

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4.

Optimal Contracting, Incentive Effects and the Valuation of Executive Stock Options

Number of pages: 58 Posted: 19 May 2001
Yisong S. Tian
York University - Schulich School of Business
Downloads 1,025 (35,466)
Citation 11

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Optimal contracting, principal-agent theory, executive compensation, incentive effects, executive stock options, certainty equivalent value

5.

Option Expensing and Executive Compensation

Number of pages: 62 Posted: 17 Mar 2007
Yi Feng and Yisong S. Tian
Ryerson University - Ted Rogers School of Management and York University - Schulich School of Business
Downloads 363 (132,643)

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option expensing, executive compensation, incentive effects

6.

Forecasting Volatility Using Long Memory and Comovements: An Application to Option Valuation Under SFAS 123r

Journal of Financial and Quantitative Analysis (JFQA), Vol. 45, No. 2, 2010
Number of pages: 31 Posted: 14 Mar 2006 Last Revised: 20 Feb 2013
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 362 (133,030)

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Volatility forecasting, Option expensing, Historical volatility, Shrinkage forecast, Long memory, Fractional integration, Comovements

7.

Too Much of a Good Incentive? The Case of Executive Stock Options

Number of pages: 34 Posted: 27 Apr 2005
Yisong S. Tian
York University - Schulich School of Business
Downloads 300 (162,632)
Citation 2

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Executive stock options, executive compensation, Incentives, risk aversion, certainty equivalent value

8.

Executive Compensation and the Corporate Spin-Off Decision

Number of pages: 48 Posted: 07 Jul 2011 Last Revised: 21 Aug 2011
Yi Feng, Debarshi K. Nandy and Yisong S. Tian
Ryerson University - Ted Rogers School of Management, Brandeis University - International Business School and York University - Schulich School of Business
Downloads 263 (186,173)

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Spin-off, Executive compensation, Managerial equity incentives, Board Independence, Corporate restructuring, Long-term performance

9.

A Random Walk Down the Options Market

Journal of Futures Markets, 2012, 32(6), 505-535.
Number of pages: 31 Posted: 22 Mar 2009 Last Revised: 03 Oct 2012
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 160 (294,016)

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Model-free forward variance, random walk, expectations hypothesis, market illiquidity, model misspecification

10.

Misreaction or Misspecification? A Re-Examination of Volatility Anomalies

Journal of Banking and Finance, Vol. 34, 2010
Number of pages: 12 Posted: 22 Aug 2011 Last Revised: 20 Feb 2013
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 155 (301,859)

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Volatility anomaly, Model misspecification, Market misreaction, Model-free implied volatility, Market efficiency

11.

Gauging the Investor Fear Gauge: Implementation Problems of the Cboe's New Volatility Index

Number of pages: 55 Posted: 26 Mar 2005 Last Revised: 21 Feb 2013
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 143 (322,387)
Citation 6

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Volatility index, VIX, Investor fear gauge, Volatility smile, Fair value of future variance, Model-free implied volatility, No-arbitrage smoothing

12.

Non-Segmented Equilibria Under Differential Taxation: Evidence from the Canadian Government Bond Market

Number of pages: 32 Posted: 14 Oct 1999
Alexandra E. Mackay, Eliezer Z. Prisman and Yisong S. Tian
University of Toronto, Rotman School of Management, York University - Schulich School of Business and York University - Schulich School of Business
Downloads 131 (345,105)

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13.

Ironing Out the Kinks in Executive Compensation: Linking Incentive Pay to Average Stock Prices

Journal of Banking and Finance, Forthcoming
Number of pages: 66 Posted: 16 Sep 2012
Yisong S. Tian
York University - Schulich School of Business
Downloads 110 (392,055)
Citation 1

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Executive compensation, Optimal contracting, Executive stock options, Cost effectiveness, Incentive effects, Asian options, Indexed options

14.

Ironing Out the Wrinkles in Executive Compensation: Linking Incentive Pay to Average Stock Prices

Number of pages: 56 Posted: 18 Feb 2012 Last Revised: 20 Feb 2012
Yisong S. Tian
York University - Schulich School of Business
Downloads 99 (422,008)

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Executive compensation, Optimal contracting, Executive stock options, Cost effectiveness, Incentive effects, Asian stock options, Indexed stock options

15.

The Binomial Option Pricing Model: a Flaw and How to Fix It

Number of pages: 49 Posted: 18 Apr 2023
Yisong S. Tian
York University - Schulich School of Business
Downloads 72 (511,466)

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Binomial option pricing model, Dividend yield, American options, Early exercise, Futures options

16.

Director Networks and Initial Public Offerings

Journal of Banking and Finance, Vol. 106, 2019
Number of pages: 65 Posted: 16 Jul 2020
Yi Feng, Keke Song and Yisong S. Tian
Ryerson University - Ted Rogers School of Management, Melbourne Business School, the University of Melbourne and York University - Schulich School of Business
Downloads 54 (590,505)
Citation 4

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Director networks, Network centrality, IPO underpricing, Offer price revision, IPO valuation, Investor attention, Pre-IPO media coverage, Post-IPO stock performance

17.

Analoging the Digital: Designing Better Binary Option Contracts

Downloads 36 (692,840)

Analoging the Digital: Designing Better Binary Option Contracts

Number of pages: 37 Posted: 08 Jul 2021
Yisong S. Tian
York University - Schulich School of Business
Downloads 36 (711,509)

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Binary option, Digital option, Discontinuous payoff, Market manipulation, Fraud prevention, Option delta

Analoging the digital: Designing better binary option contracts

Financial Markets, Institutions & Instruments, https://onlinelibrary.wiley.com/doi/10.1111/fmii.12151
Posted: 28 Sep 2021
Yisong S. Tian
York University - Schulich School of Business

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Binary option, Digital option, Discontinuous payoff, Market manipulation, Fraud prevention, Option delta

18.

Enhancing Managerial Equity Incentives with Moving Average Payoffs

Forthcoming: Journal of Futures Markets, Wiley, September, 2020
Number of pages: 49 Posted: 22 Jun 2020
Yisong S. Tian
York University - Schulich School of Business
Downloads 36 (692,840)

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Managerial equity incentives, Executive stock options, Moving average, Asian stock options, Managerial gaming, Stock price manipulation

19.

Industry Co-agglomeration, Executive Mobility and Compensation

Number of pages: 60 Posted: 04 Mar 2023
Markus S. Broman, Debarshi K. Nandy and Yisong S. Tian
Ohio University, Brandeis University - International Business School and York University - Schulich School of Business
Downloads 29 (741,320)

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Industry co-agglomeration; Executive mobility; Geographic segmentation; Executive compensation; Local peers; Management style

20.

Implied Binomial Trees with Cubic Spline Smoothing

Journal of Derivatives, Forthcoming, https://doi.org/10.3905/jod.2015.22.3.040
Posted: 20 May 2019
Yisong S. Tian
York University - Schulich School of Business
Downloads 0 (980,545)

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Implied binomial trees, Cubic splines, Risk-neutral density, Risk-neutral moments, Numerical efficiency

21.

Extracting Risk-Neutral Density and its Moments from American Option Prices

Journal of Derivatives, Vol. 18, No. 3, 2011, https://doi.org/10.3905/jod.2011.18.3.017
Posted: 05 Aug 2011
Yisong S. Tian
York University - Schulich School of Business

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Risk-neutral distribution, risk-neutral moments, model-free implied volatility, skewness, kurtosis, American options

22.

Managerial Incentives and Corporate Fraud: The Sources of Incentives Matter

Review of Finance, Vol. 13, Issue 1, pp. 115-145, 2009
Posted: 17 Jan 2009
Shane A. Johnson, Harley E. Ryan and Yisong S. Tian
Texas A&M University - Department of Finance, Georgia State University - Department of Finance and York University - Schulich School of Business

Abstract:

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M52, G34, K42, M41

23.

Arbitrage and Valuation in the Market for Standard and Poor's Depositary Receipts

Financial Management, Vol. 29, No. 3, Autumn 2000
Posted: 14 Jun 2001
Lucy F. Ackert and Yisong S. Tian
Kennesaw State University - Michael J. Coles College of Business and York University - Schulich School of Business

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24.

The Value and Incentive Effects of Nontraditional Executive Stock Option Plans

Posted: 04 Jan 2001
Yisong S. Tian and Shane A. Johnson
York University - Schulich School of Business and Texas A&M University - Department of Finance

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Executive stock options, Executive compensation, Option valuation, Incentives

25.

Indexed Executive Stock Options

Posted: 04 Jan 2001
Yisong S. Tian and Shane A. Johnson
York University - Schulich School of Business and Texas A&M University - Department of Finance

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Executive stock options, Executive compensation, Option valuation, Indexed options

26.

Efficiency in Index Options Markets and Trading in Stock Baskets

Federal Reserve Bank of Atlanta, Research Department Working Paper No. 99-5
Posted: 05 Nov 1999
Lucy F. Ackert and Yisong S. Tian
Kennesaw State University - Michael J. Coles College of Business and York University - Schulich School of Business

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27.

A Reexamination of Lattice Procedures for Interest Rate-Contingent Claims

ADVANCES IN FUTURES AND OPTIONS RESEARCH, Vol 7, 1994
Posted: 20 Feb 1995
Yisong S. Tian
York University - Schulich School of Business

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28.

Immunization in Markets with Tax-Clientele Effects: Evidence from the Canadian Market

Posted: 15 Jun 1994
Eliezer Z. Prisman and Yisong S. Tian
York University - Schulich School of Business and York University - Schulich School of Business

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