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Pricing black-scholes options with correlated credit risk and jump risk

Xu, Weidong; Xu, Weijun; Xiao, Weilin - In: Applied economics letters 22 (2015) 1/3, pp. 87-93

Persistent link: https://www.econbiz.de/10010482058

Default probability anomalies in the momentum startegies

Lee, Nicholas Rueilin; Liu, Jung-Fang; Lin, Wei-Yu - In: Applied economics letters 21 (2014) 16/18, pp. 1206-1209

Persistent link: https://www.econbiz.de/10010465679

Computational complexity analysis of least-squares Monte Carlo (LSM) for pricing US derivatives

Chen, A.-S.; Shen, P.-F. - In: Applied economics letters 10 (2003) 4, pp. 223-229

Persistent link: https://www.econbiz.de/10001748973

Pricing European basket warrants with default risk under stochastic volatility models

Wang, Xingchun - In: Applied economics letters 29 (2022) 3, pp. 253-260

Persistent link: https://www.econbiz.de/10012803500

Financial derivatives and default dependence : a time-varying copula approach

Zhang, Xuan; Liu, Ding; Zhao, Yang; Zhang, Zhekai - In: Applied economics letters 28 (2021) 11, pp. 958-963

Persistent link: https://www.econbiz.de/10012589711

Valuing vulnerable options with bond collateral

Wang, Guanying; Wang, Xingchun - In: Applied economics letters 28 (2021) 2, pp. 115-118

Persistent link: https://www.econbiz.de/10012415094

Evaluating real estate development project with Monte Carlo based binomial options pricing model

Yeh, I.-Cheng; Lien, Che-Hui - In: Applied economics letters 27 (2020) 4, pp. 307-324

Persistent link: https://www.econbiz.de/10012205448

Valuing vulnerable options with two underlying assets

Wang, Xingchun - In: Applied economics letters 27 (2020) 21, pp. 1699-1706

Persistent link: https://www.econbiz.de/10012315771

A Structural Framework for the Pricing of Corporate Securities : Economic and Empirical Issues

Genser, Michael (contributor) - 2006

This book is the first comprehensive treatment of structural credit risk models for the simultaneous and consistent pricing of corporate securities. Through the development of a flexible economic framework based on the firm's EBIT, the reader is taken from the economic principles of firm value...

Persistent link: https://www.econbiz.de/10013520503

Assessing the Economic Value of Venture Capital Contracts : An Option Pricing Approach

Onimus, Jil Caroline - 2011

Jil C. Onimus makes a contribution to the nascent research line on the economic value of venture capital contracts which lies at the intersection of venture capital contract design and real option pricing. She identifies the baskets of real options embedded in model venture capital contracts as...

Persistent link: https://www.econbiz.de/10014015290