Jia-Hau Guo

Associate Professor

20022020

Research output per year

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Personal profile

Research Interests

Financial Markets, Asset Pricing, Risk Management

Experience

2011 ~ present Associate Professor, National Chaio-Tung University, Taiwan 

Education/Academic qualification

PhD, National Taiwan University

External positions

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Projects

Investor Sentiment, Option Bubble, and Early Exercise

Guo, J.

1/08/2031/07/21

Project: Government MinistryMinistry of Science and Technology

Investor Sentiment, Option Bubble, and Early Exercise

Guo, J.

1/08/1931/07/20

Project: Government MinistryMinistry of Science and Technology

Discrete Dividends, Price Limits, and Early Exercise Premium: Theory and Empirical Evidence

Guo, J.

1/08/1831/07/19

Project: Government MinistryMinistry of Science and Technology

Discrete Dividends, Price Limits, and Early Exercise Premium: Theory and Empirical Evidence

Guo, J.

1/08/1731/07/18

Project: Government MinistryMinistry of Science and Technology

Richardson Extrapolation Techniques for Static Hedging and Pricing Exotic Options

Guo, J.

1/08/1631/07/17

Project: Government MinistryMinistry of Science and Technology

Research Output

A generalization of option pricing to price-limit markets

Guo, J-H. & Chang, L. F., Jul 2020, In : Review of Derivatives Research.

Research output: Contribution to journalArticle

  • Repeated Richardson extrapolation and static hedging of barrier options under the CEV model

    Guo, J. H. & Chang, L. F., Jun 2020, In : Journal of Futures Markets. p. 974-988 15 p.

    Research output: Contribution to journalArticle

  • Limit hits and informationally-related stocks

    Guo, J-H., Chang, L. F. & Hung, M. W., 1 Jun 2017, In : Journal of Financial Markets. 34, p. 31-47 17 p.

    Research output: Contribution to journalArticle

  • 4 Scopus citations

    A Generalization of the Recursive Integration Method for the Analytic Valuation of American Options

    Chang, L. F., Guo, J-H. & Hung, M. W., 1 Sep 2016, In : Journal of Futures Markets. 36, 9, p. 887-901 15 p.

    Research output: Contribution to journalArticle

  • 2 Scopus citations

    Implementation problems and solutions in stochastic volatility models of the heston type

    Guo, J-H. & Hung, M. W., 1 Jan 2015, Handbook of Financial Econometrics and Statistics. Springer New York, p. 2303-2315 13 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter