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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

Closed-form mortgage valuation using reduced-form model

Liao, Szu-Lang; Tsai, Ming-shann; Chiang, Shu-ling - In: Real estate economics : journal of the American Real … 36 (2008) 2, pp. 313-347

Persistent link: https://www.econbiz.de/10003764870

Valuation and optimal strategies of convertible bonds

Liao, Szu-Lang; Huang, Hsing-Hua - In: The journal of futures markets 26 (2006) 9, pp. 895-922

Persistent link: https://www.econbiz.de/10003356485

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 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

Economic determinants of default risks and their impacts on credit derivative pricing

Liao, Szu-Lang; Chang, Jui-jane - In: The journal of futures markets 30 (2010) 11, pp. 1058-1081

Persistent link: https://www.econbiz.de/10008900939

The valuation of European options when asset returns are autocorrelated

Liao, Szu-Lang; Chen, Chao-chun - In: The journal of futures markets 26 (2006) 1, pp. 85-102

Persistent link: https://www.econbiz.de/10003303871

Analyzing yield, duration and convexity of mortgage loans under prepayment and default risks

Tsai, Ming-shann; Liao, Szu-Lang; Chiang, Shu-ling - In: Journal of housing economics 18 (2009) 2, pp. 92-103

Persistent link: https://www.econbiz.de/10003877147

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

Risk determinants of gold betas

Lian, Yu-Min; Liao, Szu-Lang - In: The empirical economics letters : a monthly … 13 (2014) 10, pp. 1099-1104

Persistent link: https://www.econbiz.de/10010527311