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 Cheng-Wei Wu. ``An Improved Combinatorial Approach for Pricing Parisian Options.'' To appear in Decisions in Economics and Finance. Online version on October 29, 2009.
  2. Chung-Ying Chen, Yauh-Dauh Lyuu, and Chuan-Ju Wang. ``A Closed-Form Formula for an Option with Discrete and Continuous Barriers.'' Communications in Statistics --- Theory and Methods
  3. Yuh-Dauh Lyuu and Huei-Wen Teng. ``Unbiased and Efficient Greeks of Financial Options.'' To appear in Finance and Stochastics.
  4. 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.
  5. Ching-Lueh Chang and Yuh-Dauh Lyuu. ``Spreading Messages.'' Theoretical Computer Science, 410 (2009), 2714-2724.
  6. Liao, Feng-Yu 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.
  7. 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.
  8. 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.
  9. Lin, Hong-Yiu, 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.
  10. Chang, Chin-Luei, 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.
  11. Tian-Shyr Dai and Yuh-Dauh Lyuu. ``Linear-Time Option Pricing Algorithms by Combinatorics.'' Computers and Mathematics with Applications, 55, No. 9 (2008), 2142-2157.
  12. 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.
  13. Kuan-Wen Chen and Yuh-Dauh Lyuu. ``Accurate Pricing Formulas for Asian Options.'' Applied Mathematics and Computation, 188, Issue 2 (May 2007), 1711-1724.
  14. 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.
  15. Tian-Shyr Dai, Yuh-Yuan Fang, and Yuh-Dauh Lyuu. ``Analytics for Geometric Average Trigger Reset Options.'' Applied Economics Letters, 12 (2005), 835-840.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. Yuh-Dauh Lyuu and Ming-Luen Wu. ``Group Undeniable Signatures.'' International Journal of Computer Research, 12, No. 2 (2003), 301-309.
  22. 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.
  23. Yuh-Dauh Lyuu and Ming-Luen Wu. ``A Fully Public-Key Traitor-Tracing Scheme.'' WSEAS Transactions on Circuits, 1, Issue 1 (2002), 88-93.
  24. Tian-Shyr Dai and Yuh-Dauh Lyuu. ``Efficient, Exact Algorithms for Asian Options with Multiresolution Lattices.'' Review of Derivatives Research, 5 (2002), 181-203.
  25. 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.
  26. Yuh-Dauh Lyuu. ``A General Computational Method for Calibration Based on Differential Trees.'' The Journal of Derivatives, 7, No. 1 (Fall 1999), 79-90.
  27. 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.
  28. 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.
  29. 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.
  30. 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.
  31. 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.
  32. 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.
  33. 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.
  34. Yuh-Dauh Lyuu. ``Fast Fault-Tolerant Parallel Communication for de Bruijn and Digit-Exchange Networks Using Information Dispersal.'' Networks, 23 (1993), 365-378.
  35. Yuh-Dauh Lyuu and Igor Rivin. ``Tight Bounds for Transition to Perfect Generalization in Perceptrons.'' Neural Computation, 6, No. 4 (September 1992), 854-862.
  36. Eric B. Baum and Yuh-Dauh Lyuu. ``The Transition to Perfect Generalization in Perceptrons.'' Neural Computation, 3, No. 3 (Fall 1991), 386-401.
  37. Yuh-Dauh Lyuu. ``Fast Fault-Tolerant Parallel Communication and On-Line Maintenance Using Information Dispersal.'' Mathematical Systems Theory, 24 (1991), 273-294.
  38. 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