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The valuation of special purpose vehicles by issuing structured credit-linked notes

Chang, Chia-Chien; Wang, Chou-Wen; Liao, Szu-Lang - In: Applied financial economics 19 (2009) 1-3, pp. 227

Persistent link: https://www.econbiz.de/10008210132

The valuation of special purpose vehicles by issuing structured credit-linked notes

Chang, Chia-Chien; Wang, Chou-Wen; Liao, Szu-Lang - In: Applied financial economics 19 (2009) 3, pp. 227

Persistent link: https://www.econbiz.de/10008167075

Pricing generalized capped exchange options

Wang, Chou-Wen; Liao, Szu-Lang; Wu, Ting-Yi - In: Applied financial economics 18 (2008) 7-9, pp. 765

Persistent link: https://www.econbiz.de/10008070692

Pricing generalized capped exchange options

Wang, Chou-Wen; Liao, Szu-Lang; Wu, Ting-Yi - In: Applied financial economics 18 (2008) 9, pp. 765

Persistent link: https://www.econbiz.de/10008044719

Warrant introduction effects on stock return processes

Chang, Jui-Jane; Liao, Szu-Lang - In: Applied financial economics 20 (2010) 17, pp. 1377-1396

Persistent link: https://www.econbiz.de/10008637963

Warrant introduction effects on stock return processes

Chang, Jui-jane; Liao, Szu-Lang - In: Applied financial economics 20 (2010) 16/18, pp. 1377-1395

Persistent link: https://www.econbiz.de/10009010939

Pricing gold options under Markov-modulated jump-diffusion processes

Lin, Shih-kuei; Lian, Yu-Min; Liao, Szu-Lang - In: Applied financial economics 24 (2014) 10/12, pp. 825-836

Persistent link: https://www.econbiz.de/10010402550

The valuation of special purpose vehicles by issuing structured credit-linked notes

Chang, Chia-Chien; Wang, Chou-Wen; Liao, Szu-Lang - In: Applied financial economics 19 (2009) 1/3, pp. 227-256

With the intersection of market and credit risk, the first contribution is to derive the analytic formulas of the Credit Linked Notes (CLNs) and the leveraged total return CLNs issued by an Special Purpose Vehicle (SPV) or the protection buyer. The second contribution is to prove that the values...

Persistent link: https://www.econbiz.de/10003825916

Pricing generalized capped exchange options

Wang, Chou-Wen; Liao, Szu-Lang; Wu, Ting-Yi - In: Applied financial economics 18 (2008) 7/9, pp. 765-776

Persistent link: https://www.econbiz.de/10003739384