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Valuing foreign currency options with a mean-reverting process: a study of Hong Kong dollar

Hui, C. H.; Lo, C. F.; Yeung, V.; Fung, L. - In: International Journal of Finance & Economics 13 (2008) 1, pp. 118-134

The theoretical prediction on targeted exchange rates expects mean reversion of the exchange rates. There is some empirical evidence to support this prediction. This paper presents a model for valuing European foreign exchange options in which the forward foreign exchange rate follows a...

Persistent link: https://www.econbiz.de/10005504116

Constant elasticity of variance option pricing model with time-dependent parameters

Lo, C. F.; Yuen, P. H.; Hui, Cho H. - In: International journal of theoretical and applied finance 3 (2000) 4, pp. 661-674

Persistent link: https://www.econbiz.de/10001526858

Pricing double barrier options using Laplace transforms

Pelsser, Antoon André Jean - In: Finance and stochastics 4 (2000) 1, pp. 95-104

Persistent link: https://www.econbiz.de/10001487053

Pricing barrier options with square root process

Lo, C. F.; Yuen, P. H.; Hui, Cho H. - In: International journal of theoretical and applied finance 4 (2001) 5, pp. 805-818

Persistent link: https://www.econbiz.de/10001612240

A note on risky bond valuation

Hui, Cho H.; Lo, C. F. - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 575-580

Persistent link: https://www.econbiz.de/10001524486

Option risk measurement with time-dependent parameters

Lo, C. F.; Yuen, P. H.; Hui, Cho H. - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 581-589

Persistent link: https://www.econbiz.de/10001524491

Pricing vulnerable Black-Scholes options with dynamic default barriers

Hui, Cho H.; Lo, C. F.; Lee, Hwee Chen - In: The journal of derivatives : the official publication … 10 (2003) 4, pp. 62-69

Persistent link: https://www.econbiz.de/10001781770

Effect of asset value correlation on credit-linked note values

Hui, Cho H.; Lo, C. F. - In: International journal of theoretical and applied finance 5 (2002) 5, pp. 455-478

Persistent link: https://www.econbiz.de/10001687127

Valuation model of defaultable bond values in emerging markets

Hui, Cho H.; Lo, C. F. - In: Asia-Pacific financial markets 9 (2002) 1, pp. 45-60

Persistent link: https://www.econbiz.de/10001722350

Discriminatory power and predictions of defaults of structural credit risk models

Wong, Tak-chen; Hui, Cho H.; Lo, C. F. - In: The journal of risk model validation 3 (2009/10) 4, pp. 39-60

Persistent link: https://www.econbiz.de/10009262129