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The valuation of special purpose vehicles by issuing structured credit-linked notes

Chang, Chia-Chien; Wang, Chou-Wen; Liao, Szu-Lang - In: Applied financial economics 19 (2009) 1/3, pp. 227-256

With the intersection of market and credit risk, the first contribution is to derive the analytic formulas of the Credit Linked Notes (CLNs) and the leveraged total return CLNs issued by an Special Purpose Vehicle (SPV) or the protection buyer. The second contribution is to prove that the values...

Persistent link: https://www.econbiz.de/10003825916

Pricing generalized capped exchange options

Wang, Chou-Wen; Liao, Szu-Lang; Wu, Ting-Yi - In: Applied financial economics 18 (2008) 7/9, pp. 765-776

Persistent link: https://www.econbiz.de/10003739384

Pricing models of equity swaps

Wang, Ming-Chieh; Liao, Szu-Lang - In: The journal of futures markets 23 (2002) 8, pp. 751-772

Persistent link: https://www.econbiz.de/10001780620

Portfolio allocation with dynamic risk preferences via reinforcement learning

Chen, Ting-Fu; Kuang, Xian-Ji; Liao, Szu-Lang; Lin, … - In: Computational economics 64 (2024) 4, pp. 2033-2052

Persistent link: https://www.econbiz.de/10015143990

Pricing and hedging of quanto range accrual notes under Gaussian HJM with cross-currency Levy processes

Liao, Szu-Lang; Hsu, Pao-Peng - In: The journal of futures markets 29 (2009) 10, pp. 973-998

Persistent link: https://www.econbiz.de/10003900954

Warrant introduction effects on stock return processes

Chang, Jui-jane; Liao, Szu-Lang - In: Applied financial economics 20 (2010) 16/18, pp. 1377-1395

Persistent link: https://www.econbiz.de/10009010939

An analysis of strategic equity stakes acquisition of Chinese banks by foreign financial institutions

Chang, Hui-lung; Wu, Sou-shan; Liao, Szu-Lang - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 98-109

Persistent link: https://www.econbiz.de/10010204874

Determinants of the adoption of executive stock options in China

Wu, Ming-cheng; Liao, Szu-Lang; Huang, Yi-ting - In: The Chinese economy 46 (2013) 4, pp. 63-84

Persistent link: https://www.econbiz.de/10010213443

The portfolio strategy and hedging : a spectrum perspective on mean-variance theory

Hsu, Pao-peng; Liao, Szu-Lang - In: International review of economics & finance : IREF 22 (2012) 1, pp. 129-140

Persistent link: https://www.econbiz.de/10009618692

Option pricing using the martingale approach with polynomial interpolation

Wang, Ming-chieh; Huang, Li-jhang; Liao, Szu-Lang - In: The journal of futures markets 33 (2013) 5, pp. 469-491

Persistent link: https://www.econbiz.de/10009726364