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Hedging and arbitrage warrants under smile effects : analysis and evidence
Chen, Son-nan; Chen, An-Pin; Chang, Camus - In: International journal of theoretical and applied finance 4 (2001) 5, pp. 733-758
Persistent link: https://www.econbiz.de/10001612209
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Pricing and hedging barrier options under a Markov-modulated double exponential jump diffusion-CIR model
Chen, Son-nan; Hsu, Pao-Peng - In: International review of economics & finance : IREF 56 (2018), pp. 330-346
Persistent link: https://www.econbiz.de/10012033703
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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