This paper proposes a simple algorithm extending the discrete CRR (1979) model to evaluate vulnerable derivatives, which include two stochastic processes, the underlying stock price and the assets value of the option writer. Introducing the concept of expected intrinsic value, univariate...

In this article we propose a testing procedure for multivariate threshold autoregression with the disturbances following conditional homoscedastic martingale difference sequences. Essentially, the discussed test statistics are an extension of the work of Chan and Tong (1990) and Chan (1991), as...

This paper presents both closed-form formulas and binomial tree algorithms to evaluate vulnerable derivatives. The payoff function extends mainly from the Klein (1996) and the Ammann (2001) credit risk frameworks. Three stochastic processes, the underlying stock price, the assets value of the...

Biological, psychological and medical evidence widely suggests that the lunar phases may affect human behavior and mood. This suggestion motivates this study of the relationship between lunar phases and stock returns. Relevant papers indicate that lunar cycles effects do have an effect on stock...

This paper proposes an option pricing model, extended from the GARCH option pricing model of Duan (1995) and the Threshold-GARCH model of Hardle and Hafner (2000). Some moment properties of the proposed model are analytically proven. For simplicity or flexibility, the risk-free rate of return is...

This article presents a closed form solution for pricing American stock call options with one known dividend under the Ho-Lee stochastic interest rate assumptions. Both the closed-form pricing formula and delta hedge ratio formula for the discussed American stock call options are derived. The...