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Crash Risk of the Euro in the Sovereign Debt Crisis of 2009-2010
Hui, Cho-Hoi - 2012
The economic-political instability of a country, which is tied to its credit risk, often leads to sharp depreciation and heightened volatility in its currency. This paper shows that not only the creditworthiness of the euro-area countries with weaker fiscal positions but also that of the member...
Persistent link: https://www.econbiz.de/10013115993
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Option-Implied Correlation between iTraxx Europe Financials and Non-Financials Indexes : A Measure of Spillover Effect in European Debt Crisis
Hui, Cho-Hoi - 2013
This paper proposes an analytic method to estimate the option-implied correlation embedded in options on the iTraxx …
Persistent link: https://www.econbiz.de/10013091234
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Crude Oil Price Dynamics with Crash Risk Under Fundamental Shocks
Hui, Cho-Hoi - 2020
Our paper presents a crude oil price model in which the price is confined in a wide moving band. A price crash occurs when the price breaches the lower boundary where a smooth-pasting condition is imposed. Using an asymmetric mean-reverting fundamental (supply/demand) shock, the solution derived...
Persistent link: https://www.econbiz.de/10012839968
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Double Barrier Hitting Time Distribution of a Mean-Reverting Lognormal Process and its Application to Pricing Exotic Options
Lo, Chi-Fai - 2008
barrier hitting time distribution of a mean-reverting lognormal process, and discuss its application to pricing exotic options …
Persistent link: https://www.econbiz.de/10012725796
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Is the Hong Kong Dollar Exchange Rate 'Bounded' in the Convertibility Zone?
Hui, Cho-Hoi - 2007
The empirical results show that after the introduction of the three refinements to the Linked Exchange Rate system in May 2005 the Hong Kong dollar follows a bounded process that is consistent with a fully credible exchange rate band. The bounded process will limit the movements of the exchange...
Persistent link: https://www.econbiz.de/10012728939
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One-Touch Double Barrier Binary Option Values
Hui, Cho-Hoi - 2007
The valuation and applications of one-touch double barrier binary options that include features of knock-out, knock … of the options are derived. The relationships among different types of one-touch double barrier binary options are … discussed. An investor having a particular view on values of foreign exchanges, equities or commodities can use the options as …
Persistent link: https://www.econbiz.de/10012777003
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Valuation of Financial Derivatives with Time-Dependent Parameters : Lie-Algebraic Approach
Lo, Chi-Fai - 2007
Based upon the Wei-Norman theorem, this paper presents a Lie-algebraic technique for the pricing of financial derivatives with time-dependent parameters. By exploiting the dynamical symmetry of the pricing partialdifferential equations of the financial derivatives, the new method enables us to...
Persistent link: https://www.econbiz.de/10012777018
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Pricing Barrier Options With Square Root Process
Lo, Chi-Fai - 2007
valuation of barrier options. In this paper we derive analytical option pricing formulae of up-and-out options with this process …
Persistent link: https://www.econbiz.de/10012777033
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Constant Elasticity of Variance Option Pricing Model With Time-Dependent Parameters
Lo, Chi-Fai - 2007
This paper provides a method for pricing options in the constant elasticity of variance (CEV) model environment using …
Persistent link: https://www.econbiz.de/10012777034
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A Simple Approach for Pricing Barrier Options with Time-Dependent Parameters
Lo, Chi-Fai - 2007
In this paper we present a simple and easy-to-use method for computing accurate estimates (in closed form) of Black-Scholes barrier option prices with time-dependent parameters. This new approach is also able to provide tight upper and lower bounds (in closed form) for the exact barrier option...
Persistent link: https://www.econbiz.de/10012777036