Published Works of Prof. Lyuu

Published Works of Prof. Lyuu



[Harvard President] Summers rebuked West
for [ ... ] writing books more likely to be reviewed
in The New York Times than in academic journals.
---Boston Globe, Dec 23, 2001


Your love of publication is offensive and disgusting,
and will end, if it be not reformed,
in a general distrust among all your friends.
---Samuel Johnson to James Boswell, Feb 11, 1775

Journal Publications

  1. Yuh-Dauh Lyuu and Yu-Quan Zhang. ``Pricing Multi-Asset Time-Varying Double-Barrier Options with Time-Dependent Parameters.'' The Journal of Futures Markets, 43, Issue 3 (March, 2023), 404-434. Online version on December 20, 2022.
  2. Yu-Ming Lu and Yuh-Dauh Lyuu. ``Very Fast Algorithms for Implied Barriers and Moving-Barrier Options Pricing.'' Mathematics and Computers in Simulation, Vol. 205 (March 2023), 251-271.
  3. Chun-Yuan Chiu, Tian-Shyr Dai, Yuh-Dauh Lyuu, Liang-Chi Liu, and Yu-Ting Chen. ``Option Pricing with the Control Variate Technique beyond Monte Carlo Simulation.'' North American Journal of Economics and Finance. Vol. 62 (November 2022), 101772.
  4. Yun-Cheng Tsai, Sheng-Hsuan Lin, and Yuh-Dauh Lyuu. ``A Pricing Model with Dynamic Credit Rating Transition Matrices.'' Journal of Risk Model Validation, 15, No. 3 (September, 2021), 103-121.
  5. U Hou Lok and Yuh-Dauh Lyuu. ``A Valid and Efficient Trinomial Tree for General Local-Volatility Models.'' Computational Economics, (August 6, 2021).
  6. U Hou Lok and Yuh-Dauh Lyuu. ``Efficient Trinomial Trees for Local-Volatility Models in Pricing Double-Barrier Options.'' The Journal of Futures Markets, 40, Issue 4 (April 2020), 556-574. Online version on December 3, 2019.
  7. Yuh-Dauh Lyuu, Huei-Wen Teng, Yao-Te Tseng, and Sheng-Xiang Wang. ``A Systematic and Efficient Simulation Scheme of the Greeks for Financial Derivatives.'' Quantitative Finance, 19, Issue 7 (2019), 1199-1219. Online version on January 25, 2019. doi:10.1080/14697688.2018.1562196
  8. U Hou Lok and Yuh-Dauh Lyuu. ``The Waterline Tree for Separable Local-Volatility Models.'' Computers and Mathematics with Applications, 73, Issue 4 (15 February, 2017), 537-559. Online version on January 12, 2017.
  9. Yun-Cheng Tsai and Yuh-Dauh Lyuu. ``A New Robust Kalman Filter for Filtering the Microstructure Noise.'' Communications in Statistics --- Theory and Methods, 46, No. 10 (2017), 4961-4976. Online version on June 1, 2016.
  10. Ching-Wen Chen, Kuan-Lin Huang, and Yuh-Dauh Lyuu. ``Accelerating the Least-Square Monte Carlo Method with Parallel Computing.'' Journal of Supercomputing, 71, No. 9 (2015), 3593-3608. Online version on June 12, 2015.
  11. Ching-Lueh Chang and Yuh-Dauh Lyuu. ``Triggering Cascades on Strongly Connected Directed Graphs.'' Theoretical Computer Science, Vol. 593 (16 August 2015), 62–69. Online version on June 11, 2015.
  12. Yun-Cheng Tsai and Yuh-Dauh Lyuu. ``Faster Convergence to Realized Volatility with Microstructure Noise.'' Communications in Statistics --- Theory and Methods, 44, Issue 13 (2015), 2827-2841. Online version on April 22, 2015.
  13. Chun-Yuan Chiu, Tian-Shyr Dai, and Yuh-Dauh Lyuu. ``Pricing Asian Option by the FFT with Higher-Order Error Convergence Rate under Levy Processes.'' Applied Mathematics and Computation, Vol. 252 (February 1, 2015), 418-437.
  14. Wen-Hung Kao, Yuh-Dauh Lyuu, and Kuo-Wei Wen. ``The Hexanomial Lattice for Pricing Multi-Asset Options.'' Applied Mathematics and Computation, Vol. 233 (May 1, 2014), 463-479.
  15. Chuan-Ju Wang, Tian-Shyr Dai, and Yuh-Dauh Lyuu. ``Evaluating Corporate Bonds with Complicated Liability Structures and Bond Provisions.'' European Journal of Operational Research, 237, No. 2 (September 1, 2014), 749-757. Online version on March 12, 2014.
  16. Yuh-Dauh Lyuu, Kuo-Wei Wen, and Yi-Chun Wu. ``Performance of GPU for Pricing Financial Derivatives.'' Journal of Information Science and Engineering, 30, No. 1 (2014), 141-155.
  17. Tian-Shyr Dai, Chuan-Ju Wang, and Yuh-Dauh Lyuu. ``A Multiphase, Flexible, and Accurate Lattice for Pricing Complex Derivatives with Multiple Market Variables.'' The Journal of Futures Markets, 33, No. 9 (September 2013), 795--826.
  18. Ching-Lueh Chang and Yuh-Dauh Lyuu. ``Bounding the Sizes of Dynamic Monopolies and Convergent Sets for Threshold-based Cascades.'' Theoretical Computer Science, Vol. 468 (2013), 37-49.
  19. Ying-Chie Chen, Yuh-Dauh Lyuu, and Kuo-Wei Wen. ``The Complexity of GARCH Option Pricing Models.'' Journal of Information Science and Engineering, 28, No. 4 (July 2012), 689-704.
  20. Yuh-Dauh Lyuu, Tak-Man Ma, and Yen-Wu Ti. ``Linear-Time Compression of 2-Manifold Polygon Meshes into Information-Theoretically Optimal Number of Bits.'' Applied Mathematics and Computation, 217, Issue 21 (July 1, 2011), 4832-4837.
  21. William Wei-Yuan Hsu and Yuh-Dauh Lyuu. ``Efficient Pricing of Discrete Asian Options.'' Applied Mathematics and Computation, 217, Issue 24 (August 15, 2011), 9875-9894.
  22. Yuh-Dauh Lyuu and Chuan-Ju Wang. ``On the Construction and Complexity of Bivariate Lattice with Stochastic Interest Rate Models.'' Computers and Mathematics with Applications, 61, Issue 4 (February 2011), 1107-1121.
  23. Ching-Lueh Chang and Yuh-Dauh Lyuu. ``Spreading of Messages in Random Graphs.'' Theory of Computing Systems, 48, No. 2 (2011), 389-401.
  24. Yuh-Dauh Lyuu and Huei-Wen Teng. ``Unbiased and Efficient Greeks of Financial Options.'' Finance and Stochastics, 15, Issue 1 (2011), 141-181. Online version on September 3, 2010.
  25. Chun-Ying Chen, Pei-Ju Chou, Jeff Yu-Shun Hsu, Wisely Po-Hong Liu, Yuh-Dauh Lyuu, and Chuan-Ju Wang. ``A Closed-Form Formula for an Option with Discrete and Continuous Barriers.'' Communications in Statistics --- Theory and Methods, 40, No. 2 (2010), 345-357.
  26. Tian-Shyr Dai, Yuh-Dauh Lyuu Chuan-Ju Wang, and Yen-Chun Liu. ``An Efficient and Accurate Lattice for Pricing Derivatives under a Jump-diffusion Process.'' Applied Mathematics and Computation, Vol. 217 (2010), 3174-3189.
  27. Tian-Shyr Dai and Yuh-Dauh Lyuu. ``The Bino-trinomial Tree: A Simple Model for Efficient and Accurate Option Pricing.'' The Journal of Derivatives, 17, No. 4 (Summer 2010), 7-24.
  28. Ching-Lueh Chang and Yuh-Dauh Lyuu. ``Optimal Bounds on Finding Fixed Points of Contraction Mappings.'' Theoretical Computer Science, 411, Issues 16-18 (2010), 1742-1749.
  29. Yen-Wu Ti, Ching-Lueh Chang, Yuh-Dauh Lyuu, and Alexander Shen. ``Sets of k-independent Strings.'' International Journal of Foundations of Computer Science, 21, No. 3 (June 2010), 321-327.
  30. Yuh-Dauh Lyuu and Cheng-Wei Wu. ``An Improved Combinatorial Approach for Pricing Parisian Options.'' Decisions in Economics and Finance, 33 (2010), 49-61. Online version on October 29, 2009.
  31. Ching-Lueh Chang and Yuh-Dauh Lyuu. ``Efficient Testing of Forecasts.'' International Journal of Foundations of Computer Science, 21, No. 1 (2010), 61-72.
  32. Yuh-Dauh Lyuu and Ming-Luen Wu. ``Group Undeniable Signatures with Convertibility.'' International Journal of Computer Systems Science & Engineering, 26, No. 1 (September 2010), 59-69.
  33. Tian-Shyr Dai and Yuh-Dauh Lyuu. ``Accurate Approximation Formulas for Stock Options with Discrete Dividends.'' Applied Economics Letters, 16, No. 16 (November 2009), 1657-1663. Online version on April 28, 2008.
  34. Ching-Lueh Chang and Yuh-Dauh Lyuu. ``Spreading Messages.'' Theoretical Computer Science, 410 (2009), 2714-2724.
  35. Feng-Yu Liao and Yuh-Dauh Lyuu. ``An Expanded Model for the Valuation of Employee Stock Options.'' The Journal of Futures Markets, 29, No. 8 (August 2009), 713-735.
  36. Tian-Shyr Dai and Yuh-Dauh Lyuu. ``Accurate and Efficient Lattice Algorithms for American-Style Asian Options with Range Bounds.'' Applied Mathematics and Computation, 209 (2009), 238-253.
  37. Ching-Lueh Chang, Yuh-Dauh Lyuu, and Yen-Wu Ti. ``Testing Embeddability between Metric Spaces.'' International Journal of Foundations of Computer Science, 20, No. 2 (April 2009), 313-329.
  38. Hong-Yiu Lin, Yuh-Dauh Lyuu, Tak Man Ma, and Yen-Wu Ti. ``Testing Whether a Digraph Contains H-free k-induced Subgraphs.'' Theoretical Computer Science, 407 (2008), 545-553.
  39. Ching-Luei Chang, Yuh-Dauh Lyuu, and Yen-Wu Ti. ``The Complexity of Tarski's Fixed Point Theorem.'' Theoretical Computer Science, 401, Nos. 1-3 (July 23, 2008), 228-235.
  40. Tian-Shyr Dai, Li-Min Liu, and Yuh-Dauh Lyuu. ``Linear-Time Option Pricing Algorithms by Combinatorics.'' Computers and Mathematics with Applications, 55, No. 9 (2008), 2142-2157.
  41. William Wei-Yuan Hsu and Yuh-Dauh Lyuu. ``A Convergent Quadratic-Time Lattice Algorithm for Pricing European-Style Asian Options.'' Applied Mathematics and Computation, 189 (2007), 1099-1123.
  42. Kuan-Wen Chen and Yuh-Dauh Lyuu. ``Accurate Pricing Formulas for Asian Options.'' Applied Mathematics and Computation, 188, Issue 2 (May 2007), 1711-1724.
  43. Tian-Shyr Dai and Yuh-Dauh Lyuu. ``An Exact Subexponential-Time Lattice Algorithm for Asian Options.'' Acta Informatica, 44, No. 1 (March 2007), 23-39.
  44. Tian-Shyr Dai, Yuh-Yuan Fang, and Yuh-Dauh Lyuu. ``Analytics for Geometric Average Trigger Reset Options.'' Applied Economics Letters, 12 (2005), 835-840.
  45. Tian-Shyr Dai, Guan-Shieng Huang, and Yuh-Dauh Lyuu. ``An Efficient Convergent Lattice Algorithm for European Asian Options.'' Applied Mathematics and Computation, 169, Issue 2 (October 2005), 1458-1471.
  46. Yuh-Dauh Lyuu and Ming-Luen Wu. ``Cryptanalysis of and Improvement on the Hwang-Chen Multi-proxy Multi-signature Schemes.'' Applied Mathematics and Computation, 167, Issue 1 (August 2005), 729-739.
  47. Yuh-Dauh Lyuu and Chi-Ning Wu. ``On Accurate and Provably Efficient GARCH Option Pricing Algorithms.'' Quantitative Finance, 5, No. 2 (April 2005), 181-198.
  48. Yuh-Dauh Lyuu and Ming-Luen Wu. ``Cryptanalysis of an ElGamal-like Cryptosystem for Enciphering Large Messages.'' WSEAS Transactions on Information Science and Applications, Issue 4, Volume 1 (October 2004), 1079-1081.
  49. Yuh-Dauh Lyuu and Ming-Luen Wu. ``Attacks on a Threshold Proxy Signature Scheme Based on the RSA Cryptosystem.'' WSEAS Transactions on Information Science and Applications, Issue 4, Volume 1 (October 2004), 1041-1044.
  50. Yuh-Dauh Lyuu and Ming-Luen Wu. ``Group Undeniable Signatures.'' International Journal of Computer Research, 12, No. 2 (2003), 301-309.
  51. Chih-Hao Kao and Yuh-Dauh Lyuu. ``Pricing of Moving-Average-Trigger-Type Options with Applications.'' The Journal of Futures Markets, 23, No. 5 (March 2003), 415-440.
  52. Yuh-Dauh Lyuu and Ming-Luen Wu. ``A Fully Public-Key Traitor-Tracing Scheme.'' WSEAS Transactions on Circuits, 1, Issue 1 (2002), 88-93.
  53. Tian-Shyr Dai and Yuh-Dauh Lyuu. ``Efficient, Exact Algorithms for Asian Options with Multiresolution Lattices.'' Review of Derivatives Research, 5 (2002), 181-203.
  54. Gen-Huey Chen, Ming-Yang Kao, Yuh-Dauh Lyuu, and Hsing-Kuo Wong. ``Optimal Buy-and-Hold Strategies for Financial Markets with Bounded Daily Returns.'' SIAM Journal on Computing, 31, No. 2 (2001), 447-459.
  55. Yuh-Dauh Lyuu. ``A General Computational Method for Calibration Based on Differential Trees.'' The Journal of Derivatives, 7, No. 1 (Fall 1999), 79-90.
  56. Yuh-Dauh Lyuu. ``Very Fast Algorithms for Barrier Option Pricing and the Ballot Problem.'' The Journal of Derivatives, 5, No. 3 (Spring 1998), 68-79.
  57. Yuh-Dauh Lyuu and Eugen Schenfeld. ``New Algorithms for Matrix Operations with Applications to a Reconfigurable Parallel Architecture.'' International Journal of Computer Systems Science and Engineering, 1997.
  58. Ding-Zhu Du, D. Frank Hsu, and Yuh-Dauh Lyuu. ``On the Diameter Vulnerability of Kautz Graphs.'' Discrete Mathematics, 151 (10 May 1996), 81-85.
  59. Ding-Zhu Du, D. Frank Hsu, and Yuh-Dauh Lyuu. ``Line Digraph Iterations and Connectivity Analysis of de Bruijn and Kautz Graphs.'' IEEE Transactions on Computers, 45, No. 7 (July 1996), 863. Corrigendum.
  60. Y. Li, R. A. Linke, Y.-D. Lyuu, S. Kawai, K. Kubota, and K. Kasahara. ``Planar Optical Implementation of a Mesh-Connected Tree Interconnect.'' Applied Optics, 34, No. 11 (April 1995), 1801-1814.
  61. D. Frank Hsu and Yuh-Dauh Lyuu. ``A Graph-Theoretical Study of Transmission Delay and Fault Tolerance.'' International Journal of Mini and Microcomputers, 16, No. 1 (1994), 35-42.
  62. Ding-Zhu Du, Yuh-Dauh Lyuu, and D. Frank Hsu. ``Line Digraph Iterations and Connectivity Analysis of de Bruijn and Kautz Graphs.'' IEEE Transactions on Computers, 42, No. 5 (May 1993), 612-616.
  63. Yuh-Dauh Lyuu. ``Fast Fault-Tolerant Parallel Communication for de Bruijn and Digit-Exchange Networks Using Information Dispersal.'' Networks, 23 (1993), 365-378.
  64. Yuh-Dauh Lyuu and Igor Rivin. ``Tight Bounds for Transition to Perfect Generalization in Perceptrons.'' Neural Computation, 6, No. 4 (September 1992), 854-862.
  65. Eric B. Baum and Yuh-Dauh Lyuu. ``The Transition to Perfect Generalization in Perceptrons.'' Neural Computation, 3, No. 3 (Fall 1991), 386-401.
  66. Yuh-Dauh Lyuu. ``Fast Fault-Tolerant Parallel Communication and On-Line Maintenance Using Information Dispersal.'' Mathematical Systems Theory, 24 (1991), 273-294.
  67. D. Frank Hsu and Yuh-Dauh Lyuu. ``Lower Bounds on Sphere Partition in Symmetric Groups.'' Congressus Numerantium, 65 (1988), 17-22.

Selected Conference Publications

Patents

Books or Book Chapters

Selected Talks