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Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM
Chang, Jui-jane; Chen, Son-nan; Wu, Ting-pin - In: The journal of futures markets 33 (2013) 9, pp. 827-867
Persistent link: https://www.econbiz.de/10009779065
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A note to enhance the BPW model for the pricing of basket and spread options
Chang, Jui-jane; Chen, Son-nan; Wu, Ting-pin - In: The journal of derivatives : the official publication … 19 (2012) 3, pp. 77-82
Persistent link: https://www.econbiz.de/10009671104
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Barrier caps and floors under the LIBOR market model with double exponential jumps
Chang, Jui-jane; Chen, Son-nan; Wang, Chun-chao; Wu, … - In: The journal of derivatives : the official publication … 21 (2014) 4, pp. 7-30
Persistent link: https://www.econbiz.de/10010387683
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Analytical valuation of exotic double barrier options
Chang, Jui-Jane; Pai, Hui-Ming; Wu, Ting-Pin - In: The journal of derivatives : JOD 28 (2021) 3, pp. 97-122
Persistent link: https://www.econbiz.de/10012486032
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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
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Economic determinants of default risks and their impacts on credit derivative pricing
Liao, Szu-Lang; Chang, Jui-jane - In: The journal of futures markets 30 (2010) 11, pp. 1058-1081
Persistent link: https://www.econbiz.de/10008900939
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The impact of natural disaster on energy consumption: International evidence
Lee, Chien-Chiang; Wang, Chih-Wei; Ho, Shan-Ju; Wu, Ting-Pin - In: Energy economics 97 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012820734
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Analytical valuation of barrier interest rate options under market models
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 17 (2009/10) 1, pp. 21-37
Persistent link: https://www.econbiz.de/10003892315
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Valuation of CMS spread options with nonzero strike rates in the LIBOR market model
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 19 (2011) 1, pp. 41-55
Persistent link: https://www.econbiz.de/10009316812
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Modifying the LMM to price constant maturity swaps
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 18 (2010) 2, pp. 20-32
Persistent link: https://www.econbiz.de/10008771479