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Cross-currency equity swaps in the BGM model
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 15 (2007) 2, pp. 60-76
Persistent link: https://www.econbiz.de/10003673317
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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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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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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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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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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