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Lyuu, Yuh-Dauh
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1

Very fast algorithms for implied barriers and moving-barrie..:

Lu, Yu-Ming ; Lyuu, Yuh-Dauh
Mathematics and Computers in Simulation.  205 (2023)  - p. 251-271 , 2023
Link: https://doi.org/10.1016/..
 
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2

Option pricing with the control variate technique beyond Mo..:

Chiu, Chun-Yuan ; Dai, Tian-Shyr ; Lyuu, Yuh-Dauh..
The North American Journal of Economics and Finance.  62 (2022)  - p. 101772 , 2022
Link: https://doi.org/10.1016/..
 
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3

A Valid and Efficient Trinomial Tree for General Local-Vola..:

Lok, U Hou ; Lyuu, Yuh-Dauh
Computational Economics.  60 (2021)  3 - p. 817-832 , 2021
Link: https://doi.org/10.1007/..
 
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4

A systematic and efficient simulation scheme for the Greeks..:

Lyuu, Yuh-Dauh ; Teng, Huei-Wen ; Tseng, Yao-Te.
Quantitative Finance.  19 (2019)  7 - p. 1199-1219 , 2019
Link: https://doi.org/10.1080/..
 
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5

The waterline tree for separable local-volatility models:

Lok, U Hou ; Lyuu, Yuh-Dauh
Computers & Mathematics with Applications.  73 (2017)  4 - p. 537-559 , 2017
Link: https://doi.org/10.1016/..
 
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6

A new robust Kalman filter for filtering the microstructure..:

Tsai, Yun-Cheng ; Lyuu, Yuh-Dauh
Communications in Statistics - Theory and Methods.  46 (2016)  10 - p. 4961-4976 , 2016
Link: https://doi.org/10.1080/..
 
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7

Pricing Asian option by the FFT with higher-order error con..:

Chiu, Chun-Yuan ; Dai, Tian-Shyr ; Lyuu, Yuh-Dauh
Applied Mathematics and Computation.  252 (2015)  - p. 418-437 , 2015
Link: https://doi.org/10.1016/..
 
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8

Accelerating the least-square Monte Carlo method with paral..:

Chen, Ching-Wen ; Huang, Kuan-Lin ; Lyuu, Yuh-Dauh
The Journal of Supercomputing.  71 (2015)  9 - p. 3593-3608 , 2015
Link: https://doi.org/10.1007/..
 
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9

Triggering cascades on strongly connected directed graphs:

Chang, Ching-Lueh ; Lyuu, Yuh-Dauh
Theoretical Computer Science.  593 (2015)  - p. 62-69 , 2015
Link: https://doi.org/10.1016/..
 
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10

Faster Convergence to the Estimation of Quadratic Variation..:

Tsai, Yun-Cheng ; Lyuu, Yuh-Dauh
Communications in Statistics - Theory and Methods.  44 (2015)  13 - p. 2827-2841 , 2015
Link: https://doi.org/10.1080/..
 
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11

Evaluating corporate bonds with complicated liability struc..:

Wang, Chuan-Ju ; Dai, Tian-Shyr ; Lyuu, Yuh-Dauh
European Journal of Operational Research.  237 (2014)  2 - p. 749-757 , 2014
Link: https://doi.org/10.1016/..
 
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12

The hexanomial lattice for pricing multi-asset options:

Kao, Wen-Hung ; Lyuu, Yuh-Dauh ; Wen, Kuo-Wei
Applied Mathematics and Computation.  233 (2014)  - p. 463-479 , 2014
Link: https://doi.org/10.1016/..
 
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13

Bounding the sizes of dynamic monopolies and convergent set..:

Chang, Ching-Lueh ; Lyuu, Yuh-Dauh
Theoretical Computer Science.  468 (2013)  - p. 37-49 , 2013
Link: https://doi.org/10.1016/..
 
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14

On the construction and complexity of the bivariate lattice..:

Lyuu, Yuh-Dauh ; Wang, Chuan-Ju
Computers & Mathematics with Applications.  61 (2011)  4 - p. 1107-1121 , 2011
Link: https://doi.org/10.1016/..
 
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15

Efficient pricing of discrete Asian options:

Hsu, William W.Y. ; Lyuu, Yuh-Dauh
Applied Mathematics and Computation.  217 (2011)  24 - p. 9875-9894 , 2011
Link: https://doi.org/10.1016/..
 
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