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Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model : with regime-switching risk premium
Li, Chang-Yi; Chen, Son-nan; Lin, Shih-kuei - In: The European journal of finance 22 (2016) 10/12, pp. 887-908
Persistent link: https://www.econbiz.de/10011715220
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Pricing inflation-indexed derivatives with default risk
Chen, Son-nan; Hsu, Pao-Peng - In: The European journal of finance 24 (2018) 15, pp. 1272-1287
Persistent link: https://www.econbiz.de/10012258889
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Option pricing and hedging in different cyclical structures : a two-dimensional Markov-modulated model
Chen, Son-nan; Hsu, Pao-Peng; Liang, Kuo-yuan - In: The European journal of finance 25 (2019) 8, pp. 762-779
Persistent link: https://www.econbiz.de/10012207028
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Pricing credit-risky bonds using recovery rate uncertainty and macro-regime switching
Chen, Son-nan; Hsu, Pao-Peng; Liang, Kuo-yuan - In: The European journal of finance 30 (2024) 2, pp. 127-143
Persistent link: https://www.econbiz.de/10014547348