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A stochastic-volatility equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first-passage default model
Dai, Tian-Shyr; Fan, Chen-Chiang; Liu, Liang-Chih; … - In: The journal of futures markets 42 (2022) 12, pp. 2103-2134
Persistent link: https://www.econbiz.de/10013465872
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A systematic and efficient simulation scheme for the Greeks of financial derivatives
Lyuu, Yuh-dauh; Teng, Huei-Wen; Tseng, Yao-Te; Wang, … - In: Quantitative finance 19 (2019) 7, pp. 1199-1219
Persistent link: https://www.econbiz.de/10012194755
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Pricing multiasset time-varying double-barrier options with time-dependent parameters
Lyuu, Yuh-dauh; Zhang, Yu-Quan - In: The journal of futures markets 43 (2023) 3, pp. 404-434
Persistent link: https://www.econbiz.de/10014293107
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A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
Yang, Sharon S.; Dai, Tian-shyr - In: Insurance / Mathematics & economics 52 (2013) 2, pp. 231-242
Persistent link: https://www.econbiz.de/10009736111