Daniel Wei-Chung Miao

According to our database, Daniel Wei-Chung Miao authored at least 11 papers between 2013 and 2021.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2021

Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility.

Daniel Wei-Chung Miao, Xenos Chang-Shuo Lin, Changyao Lin

Math. Methods Oper. Res., 2021

2019

Modelling DAX by applying parabola approximation method.

Meng-Rong Li, Daniel Wei-Chung Miao, Tsung-Jui Chiang-Lin, Yong-Shiuan Lee

Int. J. Comput. Sci. Math., 2019

2018

Using forward Monte-Carlo simulation for the valuation of American barrier options.

Daniel Wei-Chung Miao, Yung-Hsin Lee, Jr-Yan Wang

Ann. Oper. Res., 2018

2017

Corrected discrete approximations for the conditional and unconditional distributions of the continuous scan statistic.

Yi-Ching Yao, Daniel Wei-Chung Miao, Xenos Chang-Shuo Lin

J. Appl. Probab., 2017

2016

A note on the never-early-exercise region of American power exchange options.

Daniel Wei-Chung Miao, Xenos Chang-Shuo Lin, Steve Hsin-Ting Yu

Oper. Res. Lett., 2016

A Standardized Normal-Laplace Mixture Distribution Fitted to Symmetric Implied Volatility Smiles.

Daniel Wei-Chung Miao, Hsiu-Chun Lee, Hung Chen

Commun. Stat. Simul. Comput., 2016

Computational analysis of a Markovian queueing system with geometric mean-reverting arrival process.

Daniel Wei-Chung Miao, Xenos Chang-Shuo Lin, Wan-Ling Chao

Comput. Oper. Res., 2016

2014

Sample-path analysis of general arrival queueing systems with constant amount of work for all customers.

Yi-Ching Yao, Daniel Wei-Chung Miao

Queueing Syst. Theory Appl., 2014

Option pricing under jump-diffusion models with mean-reverting bivariate jumps.

Daniel Wei-Chung Miao, Xenos Chang-Shuo Lin, Wan-Ling Chao

Oper. Res. Lett., 2014

2013

A generalised Little's law and its applications for a discrete-time G/D/1 queue with correlated arrivals.

Daniel Wei-Chung Miao, H. Chen

J. Oper. Res. Soc., 2013

Analysis of the Discrete Ornstein-Uhlenbeck Process Caused by the Tick Size Effect.

Daniel Wei-Chung Miao

J. Appl. Probab., 2013