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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 (2009/10) 1, pp. 21-37
Persistent link: https://www.econbiz.de/10003892315
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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. 77-82
Persistent link: https://www.econbiz.de/10009671104
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Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model : with regime-switching risk premium
Li, Chang-Yi; Chen, Son-nan; Lin, Shih-kuei - In: The European journal of finance 22 (2016) 10/12, pp. 887-908
Persistent link: https://www.econbiz.de/10011715220
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Valuation of quanto options in a Markovian regime-switching market : a Markov-modulated Gaussian HJM model
Chen, Son-nan; Chiang, Mi-hsiu; Hsu, Pao-peng; Li, Chang-yi - In: Finance research letters 11 (2014) 2, pp. 161-172
Persistent link: https://www.econbiz.de/10010441191
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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