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Robust stochastic discount factors

Boyle, Phelim P.; Feng, Shui; Tian, Weidong; Wang, Tan - In: The review of financial studies 21 (2008) 3, pp. 1077-1122

Persistent link: https://www.econbiz.de/10003742222

A simple theory of asset pricing under model uncertainty

Kogan, Leonid (contributor); Wang, Tan (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001714112

How Rational Are the Option Prices of Hong Kong Dollar Exchange Rate?

Drapeau, Samuel - 2019

In this paper, we study the prices of the options on Hong Kong's linked exchange rate. The study was motivated by the apparent contradiction that options with strike prices outside the narrow trading band have positive prices. We developed a simple regime-switching model of the exchange rate and...

Persistent link: https://www.econbiz.de/10012860388

How rational are the option prices of the Hong Kong dollar exchange rate?

Drapeau, Samuel; Wang, Tan; Wang, Tao - In: The journal of derivatives : JOD 28 (2021) 3, pp. 140-161

Persistent link: https://www.econbiz.de/10012486035

Applications of randomized low discrepancy sequences to the valuation of complex securities

Ken Seng Tan; Boyle, Phelim P. - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1747-1782

Persistent link: https://www.econbiz.de/10001508772

Pricing lookback and barrier options under the CEV process

Boyle, Phelim P.; Tian, Yisong Sam - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 2, pp. 241-264

Persistent link: https://www.econbiz.de/10001436318

Bounds on contingent claims based on several assets

Boyle, Phelim P. - In: Journal of financial economics 46 (1997) 3, pp. 383-400

Persistent link: https://www.econbiz.de/10001231518

An explicit finite difference approach to the pricing of barrier options

Boyle, Phelim P. - In: Applied mathematical finance 5 (1998) 1, pp. 17-43

Persistent link: https://www.econbiz.de/10001238444

Theory and measurement of exotic options in US agricultural support programs

Tirupattur, Viswanath - In: American journal of agricultural economics 79 (1997) 4, pp. 1127-1139

Persistent link: https://www.econbiz.de/10001238855

Valuation of options on several risky assets when there are transactions costs

Boyle, Phelim P. - In: Advances in futures and options research : a research annual 9 (1997), pp. 111-127

Persistent link: https://www.econbiz.de/10001226768