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Game options analysis of the information role of call policies in convertible bonds

Leung, Chi Man; Chen, Nan; Kwok, Yue-Kuen - In: Applied mathematical finance 22 (2015) 3/4, pp. 297-335

Persistent link: https://www.econbiz.de/10011436213

Real options signaling game models for dynamic acquisition under information asymmetry

Leung, Chi Man; Kwok, Yue-Kuen - In: Decisions in economics and finance : DEF ; a journal of … 41 (2018) 1, pp. 35-63

Persistent link: https://www.econbiz.de/10011997020

Numerical pricing of CoCo bonds with parisian trigger feature using the fortet method

Leung, Chi Man; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 20 (2017) 7, pp. 1-22

Persistent link: https://www.econbiz.de/10011763939

Real options game models of R&D competition between asymmetric firms with spillovers

Leung, Chi Man; Kwok, Yue-Kuen - In: Decisions in economics and finance : DEF ; a journal of … 39 (2016) 2, pp. 259-291

Persistent link: https://www.econbiz.de/10011642627

Patent-investment games under asymmetric information

Leung, Chi Man; Kwok, Yue Kuen - In: European Journal of Operational Research 223 (2012) 2, pp. 441-451

This paper analyzes preemptive patenting in a two-stage real options game where an incumbent firm competes with a potential entrant firm for the patent of a substitute product in a product market with profit flow uncertainty. The incumbent suffers loss of monopoly in the product market if the...

Persistent link: https://www.econbiz.de/10010594999

Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models

Huang, Zhenzhen; Kwok, Yue-Kuen; Xu, Ziqing - In: Insurance : mathematics and economics 115 (2024), pp. 132-150

Persistent link: https://www.econbiz.de/10015066737

Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes

Zheng, Wendong; Yuen, Chi Hung; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10011455019

Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models

Yuen, Chi Hung; Zheng, Wendong; Kwok, Yue-Kuen - In: Applied mathematical finance 22 (2015) 5/6, pp. 421-449

Persistent link: https://www.econbiz.de/10011490606

Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models

Dong, Bing; Xu, Wei; Kwok, Yue-Kuen - In: Quantitative finance 19 (2019) 10, pp. 1741-1761

Persistent link: https://www.econbiz.de/10012194821

Signaling game models of equity financing under information asymmetry and finite project life

Wang, Qiuqi; Kwok, Yue-Kuen - In: International journal of financial engineering 6 (2019) 1, pp. 1-38

Persistent link: https://www.econbiz.de/10012028847