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Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy
Lian, Yu-Min; Chen, Jun-Home; Liao, Szu-Lang - In: Finance research letters 16 (2016), pp. 208-219
Persistent link: https://www.econbiz.de/10011656179
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Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics
Lian, Yu-Min; Chen, Jun-Home; Liao, Szu-Lang - In: International review of economics & finance : IREF 93 (2024) 2, pp. 503-519
Persistent link: https://www.econbiz.de/10014535585
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Foreign exchange option pricing under regime switching with asymmetrical jumps
Lian, Yu-Min; Chen, Jun-Home - In: Finance research letters 46 (2022) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10013341395
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Foreign exchange option pricing in the currency cycle with jump risks
Lin, Chien-Hsiu; Lin, Shih-kuei; Wu, An-Chi - In: Review of quantitative finance and accounting 44 (2015) 4, pp. 755-789
Persistent link: https://www.econbiz.de/10011333144
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Valuation and empirical analysis of currency options
Chuang, Ming-Che; Wen, Chin-Hsiang; Lin, Shih-kuei - In: International review of economics & finance : IREF 66 (2020), pp. 71-91
Persistent link: https://www.econbiz.de/10012390660
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Modelling VaR for foreign-asset portfolios in continuous time
Chen, Fen-ying; Liao, Szu-Lang - In: Economic modelling 26 (2009) 1, pp. 234-240
Persistent link: https://www.econbiz.de/10003817081