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

12

DOWNLOADS
Rank 19,365

SSRN RANKINGS

Top 19,365

in Total Papers Downloads

1,879

CITATIONS
Rank 30,769

SSRN RANKINGS

Top 30,769

in Total Papers Citations

7

Scholarly Papers (12)

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 489 (41,762)
Citation 5

Abstract:

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 429 (50,616)

Abstract:

Analytic approximation Methods, Asian options, Monte Carlo

3.

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 209 (111,280)
Citation 2

Abstract:

Default probability, Loan guarantee portfolios, Joint loan guarantees

4.

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 National Taiwan University
Downloads 169 (105,476)

Abstract:

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

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 National Taiwan University
Downloads 112 (182,045)

Abstract:

Option volatility information, Combination trades, Informed investors

6.

Simultaneous Implication of Credit Risk and Embedded Options in Lease Contracts

Number of pages: 75 Posted: 21 Oct 2011 Last Revised: 09 Mar 2016
National Central University at Taiwan - Department of Finance, Shih Chien University, National Central University at Taiwan and CUNY Baruch College - Zicklin School of Business
Downloads 91 (207,471)

Abstract:

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 85 (220,688)

Abstract:

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 71 (247,999)

Abstract:

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

9.

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 National Taiwan University
Downloads 42 (320,768)

Abstract:

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

10.

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 41 (329,561)

Abstract:

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

11.

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, Universite Laval and National Chiao Tung University

Abstract:

12.

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:

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