Chuang-Chang Chang

National Central University at Taiwan - Department of Finance

No. 300, Jhongda Rd, Jhogli City, Taoyuan, Taiwan,

Jhongli, TY 32001

Taiwan

SCHOLARLY PAPERS

13

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CITATIONS
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10

Scholarly Papers (13)

1.

Richardson Extrapolation Techniques for the Pricing of American-Style Options

EFMA 2002 London Meetings
Number of pages: 26 Posted: 12 Jun 2002
San-Lin Chung, Chuang-Chang Chang and Richard C. Stapleton
National Central University at Taiwan - Department of Finance, National Central University at Taiwan - Department of Finance and University of Strathclyde - Department of Accounting and Finance
Downloads 527 (51,446)
Citation 6

Abstract:

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American option, non-uniform convergence, Richardson extrapolation, Repeated-Richardson extrapolation

2.

An Accurate and Efficient Method for Pricing Asian Options

EFMA 2003 Helsinki Meetings
Number of pages: 25 Posted: 11 May 2003
Chuang-Chang Chang and Chueh-Yung Tsao
National Central University at Taiwan - Department of Finance and National Central University at Taiwan - Department of Finance
Downloads 443 (63,930)

Abstract:

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Analytic approximation Methods, Asian options, Monte Carlo

3.

Sophistication, Sentiment, and Misreaction

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 46 Posted: 19 Nov 2013
Chuang-Chang Chang, Pei-Fang Hsieh and Yaw-Huei Wang
National Central University at Taiwan - Department of Finance, National Tsing Hua University - Department of Quantitative Finance and UNSW
Downloads 254 (119,476)
Citation 1

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Options; Misreaction; Model-free implied volatility; Investor sophistication; Investor sentiment.

4.

Loan Guarantee Portfolios and Joint Loan Guarantees with Stochastic Interest Rates

EFMA 2002 London Meetings
Number of pages: 25 Posted: 10 Jun 2002
Chuang-Chang Chang and San-Lin Chung
National Central University at Taiwan - Department of Finance and National Central University at Taiwan - Department of Finance
Downloads 227 (133,716)
Citation 1

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Default probability, Loan guarantee portfolios, Joint loan guarantees

5.

Information Content of Options Trading Volume for Future Volatility: Evidence from the Taiwan Options Market

21st Australasian Finance and Banking Conference 2008 Paper, Journal of Banking and Finance, Vol. 34, No. 1, 2010
Number of pages: 42 Posted: 11 Jul 2008 Last Revised: 19 Oct 2012
Chuang-Chang Chang, Pei-Fang Hsieh and Yaw-Huei Wang
National Central University at Taiwan - Department of Finance, National Tsing Hua University - Department of Quantitative Finance and UNSW
Downloads 148 (196,420)

Abstract:

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Option volatility information, Combination trades, Informed investors

6.

A Reduced-Form Model for Lease Contract Valuation with Embedded Options

Number of pages: 62 Posted: 21 Oct 2011 Last Revised: 20 Dec 2017
National Central University at Taiwan - Department of Finance, Shih Chien University, National Central University at Taiwan and Zicklin School of Business, Baruch College - The City University of New York
Downloads 135 (211,618)

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Lease Contracts, Embedded Options, Default Risk, Adjustable Rate

7.

Pricing Dynamic Guaranteed Funds Under a Double Exponential Jump Diffusion Model

22nd Australasian Finance and Banking Conference 2009
Number of pages: 47 Posted: 25 Aug 2009
Chuang-Chang Chang, Ya-Huei Lian and Min-Hung Tsay
National Central University at Taiwan - Department of Finance, National Central University at Taiwan - Department of Finance and National Central University at Taiwan - Department of Finance
Downloads 104 (256,522)

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8.

Risk-Shifting Behavior at Commercial Banks Under Different Deposit Insurance Systems: Further Evidence from U.S. Markets

Number of pages: 40 Posted: 10 Aug 2011 Last Revised: 26 Aug 2011
Chuang-Chang Chang and Ruey-Jenn Ho
National Central University at Taiwan - Department of Finance and Providence University at Taiwan - Department of Finance
Downloads 90 (282,008)

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Deposit insurance, Risk-shifting behavior, Risk-based premium system, Barrier option approach, Maximum likelihood estimation

9.

Implied Volatility Spreads and Future Options Returns Around Information Events and Conditions

Number of pages: 45 Posted: 10 Jan 2018
Chuang-Chang Chang, Zih-Ying Lin and Yaw-Huei Wang
National Central University at Taiwan - Department of Finance, Hunan University and UNSW
Downloads 57 (363,552)

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Volatility spreads; Option returns; Earnings announcements; Investor sentiment; Investor learning

10.

The Intraday Behavior of Information Misreaction Across Various Categories of Investors in the Taiwan Options Market

Journal of Financial Markets, Forthcoming
Number of pages: 38 Posted: 17 Aug 2011 Last Revised: 02 Oct 2012
Chuang-Chang Chang, Pei-Fang Hsieh, Tang Chih-Wei and Yaw-Huei Wang
National Central University at Taiwan - Department of Finance, National Tsing Hua University - Department of Quantitative Finance, National Central University at Taiwan and UNSW
Downloads 55 (369,813)

Abstract:

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Options, Misreaction, Stochastic volatility, Model-free implied variance, Investors

11.

The Impact of Volatility and Net Buying Pressure on the Trading Demand of Speculators and Hedgers

Number of pages: 29 Posted: 09 Aug 2013
Chuang-Chang Chang, Pei-Fang Hsieh and Zih-Ying Lin
National Central University at Taiwan - Department of Finance, National Tsing Hua University - Department of Quantitative Finance and National Central University - Department of Finance
Downloads 49 (389,334)

Abstract:

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Trading demand, Volatility, Speculator, Hedger, Net buying pressure

12.

Credit Enhancement and Loan Default Risk Premiums

Canadian Journal of Administrative Sciences, vol. 19, 3, 2002, 301-312
Posted: 16 Mar 2015
Chuang-Chang Chang, Van Son Lai and Min-Teh Yu
National Central University at Taiwan - Department of Finance, Université Laval and National Chiao Tung University

Abstract:

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13.

Pricing Options with American Style Average Reset Features

U. of Lancaster Dept. of Accounting & Finance WP No. 2000/015
Posted: 03 Aug 2003
Chuang-Chang Chang, Mark B. Shackleton and San-Lin Chung
National Central University at Taiwan - Department of Finance, Lancaster University - Department of Accounting and Finance and National Central University at Taiwan - Department of Finance

Abstract:

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Tri-nomial tree, reset option, American and average features