Yueh-Neng Lin

National Chung Hsing University

402, No. 250 Kuo Kuang Road, Taiwan

Taichung, Taiwan

China

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

VIX Option Pricing and CBOE VIX Term Structure: A New Methodology for Volatility Derivatives Valuation

17th Conference on the Theories and Practices of Securities and Financial Markets, 2009
Number of pages: 65 Posted: 09 Feb 2010
Yueh-Neng Lin
National Chung Hsing University
Downloads 608 (42,258)

Abstract:

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CBOE VIX Term Structure, forward VIX, multifactor models, Hump

2.

Nature of VIX Jumps on Market Timing of Hedge Funds

Number of pages: 58 Posted: 23 Aug 2011 Last Revised: 13 Nov 2013
Yueh-Neng Lin and Jeremy Goh
National Chung Hsing University and Singapore Management University - Lee Kong Chian School of Business
Downloads 214 (139,972)

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Ultra-high frequency VIX, Infinite jump activity, Finite jump activity, Brownian motion, Hedge fund strategies

3.

Volatility Derivatives and Downside Risk

Number of pages: 62 Posted: 25 Aug 2016
Yueh-Neng Lin
National Chung Hsing University
Downloads 208 (143,844)

Abstract:

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Dynamic volatility hedging capital allocation, Negative cost of carry, VIX calls, VIX futures, Variance futures, S&P 500 puts, Investable higher-moment equity risk factors