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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. 77-77
Persistent link: https://www.econbiz.de/10009841396
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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
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Equity swaps in a LIBOR market model
Wu, Ting-Pin; Chen, Son Nan - In: The journal of futures markets 27 (2007) 9, pp. 893
Persistent link: https://www.econbiz.de/10007757823
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Cross-Currency Equity Swaps in the BGM Model
Wu, Ting-Pin; Chen, Son-Nan - In: The journal of derivatives : the official publication … 15 (2007) 2, pp. 60-76
Persistent link: https://www.econbiz.de/10007891194
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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) 1, pp. 21-37
Persistent link: https://www.econbiz.de/10008309530
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Valuation of floating range notes in a LIBOR market model
Wu, Ting-Pin; Chen, Son-Nan - In: The journal of futures markets 28 (2008) 7, pp. 697-710
Persistent link: https://www.econbiz.de/10008046530
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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. 41-56
Persistent link: https://www.econbiz.de/10009329174
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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. 20-33
Persistent link: https://www.econbiz.de/10008745126
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VALUATION OF INTEREST RATE SPREAD OPTIONS IN A MULTIFACTOR LIBOR MARKET MODEL
Wu, Ting-Pin; Chen, Son-Nan - In: The journal of derivatives : the official publication … 16 (2009) 3, pp. 38-52
Persistent link: https://www.econbiz.de/10008230595