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An intertemporal capital asset pricing model under heterogeneous beliefs

Chen, Son-nan - In: Journal of economics & business 38 (1986) 4, pp. 317-330

Persistent link: https://www.econbiz.de/10001015477

Estimation risk and the demand for risky assets under uncertain inflation : heterogeneous versus homogeneous expectations

Chen, Son-nan - In: The quarterly review of economics and business : … 28 (1988) 2, pp. 30-45

Persistent link: https://www.econbiz.de/10001087048

The Mean-Gini international asset pricing model under investment barriers

Chen, Son-nan; Jeon, Kisuk - In: Advances in investment analysis and portfolio … 6 (1999), pp. 133-156

Persistent link: https://www.econbiz.de/10001438965

The effect on a firm's financing and investment decisions of differential taxation as barriers to international investment

Byun, Jong-cook; Chen, Son-nan - In: Review of quantitative finance and accounting 8 (1997) 3, pp. 191-209

Persistent link: https://www.econbiz.de/10001590885

Explicit Valuation of Currency Options with Regime-Switching Risk Premium : Markovian Jumps

Chen, Son-Nan - 2014

Spot foreign exchange (FX) rates usually exhibit volatility clustering and regime switching in a finite number of states due to change in macroeconomic factors or financial crises. We provide regime-switching evidence based on yield-curves data under the Markov-modulated diffusion (MMD) model. A...

Persistent link: https://www.econbiz.de/10013063805

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

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