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Valuation of CMS spread options with nonzero strike rates in the LIBOR market model
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 19 (2011) 1, pp. 41-55
Persistent link: https://www.econbiz.de/10009316812
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Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM
Chang, Jui-jane; Chen, Son-nan; Wu, Ting-pin - In: The journal of futures markets 33 (2013) 9, pp. 827-867
Persistent link: https://www.econbiz.de/10009779065
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Barrier caps and floors under the LIBOR market model with double exponential jumps
Chang, Jui-jane; Chen, Son-nan; Wang, Chun-chao; Wu, … - In: The journal of derivatives : the official publication … 21 (2014) 4, pp. 7-30
Persistent link: https://www.econbiz.de/10010387683
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Modifying the LMM to price constant maturity swaps
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 18 (2010) 2, pp. 20-32
Persistent link: https://www.econbiz.de/10008771479
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Equity swaps in a LIBOR market model
Wu, Ting-pin; Chen, Son-nan - In: The journal of futures markets 27 (2007) 9, pp. 893-920
Persistent link: https://www.econbiz.de/10003518527
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Valuation of interest rate spread options in a multifactor LIBOR market model
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 16 (2008/09) 3, pp. 38-52
Persistent link: https://www.econbiz.de/10003852622
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Valuation of floating range notes in a LIBOR market model
Wu, Ting-pin; Chen, Son-nan - In: The journal of futures markets 28 (2008) 7, pp. 697-710
Persistent link: https://www.econbiz.de/10003715122
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Valuation of quanto floating range notes under the cross-currency LIBOR market model
Chou, Chi-Hsun; Hsieh, Tsung-Yu; Chen, Son-nan - In: International journal of economics and finance 7 (2015) 12, pp. 70-83
Persistent link: https://www.econbiz.de/10011411651