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CREDIT SPREADS, OPTIMAL CAPITA...
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Option pricing theory
Theorie
34
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34
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21
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12
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Mathematische Optimierung
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Chen, Nan
12
Kou, Steven
9
Cai, Ning
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Liu, Yanchu
4
Glasserman, Paul
3
Song, Yingda
3
Wan, Xiangwei
3
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3
Broadie, Mark
2
Petrella, Giovanni
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Operations research
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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INFORMS journal on computing : JOC
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ECONIS (ZBW)
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Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk
Chen, Nan
;
Kou, Steven
- In:
Mathematical finance : an international journal of …
19
(
2009
)
3
,
pp. 343-378
Persistent link: https://www.econbiz.de/10003882482
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2
Discrete barrier and lookback options
Kou, Steven
- In:
Financial engineering
,
(pp. 343-373)
.
2008
Persistent link: https://www.econbiz.de/10003567639
Saved in:
3
Two problems in financial engineering
Chen, Nan
-
2006
Persistent link: https://www.econbiz.de/10003965291
Saved in:
4
Pricing double-barrier options under a flexible jump diffusion model
Cai, Ning
;
Chen, Nan
;
Wan, Xiangwei
- In:
Operations research letters
37
(
2009
)
3
,
pp. 163-167
Persistent link: https://www.econbiz.de/10003903887
Saved in:
5
Additive and multiplicative duals for American option pricing
Chen, Nan
;
Glasserman, Paul
- In:
Finance and stochastics
11
(
2007
)
2
,
pp. 153-179
Persistent link: https://www.econbiz.de/10003439750
Saved in:
6
American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach
Chen, Nan
;
Liu, Yanchu
- In:
Operations research
62
(
2014
)
3
,
pp. 616-632
Persistent link: https://www.econbiz.de/10010381847
Saved in:
7
Localization and exact simulation of Brownian motion-driven stochastic differential equations
Chen, Nan
;
Huang, Zhengyu
- In:
Mathematics of operations research
38
(
2013
)
3
,
pp. 591-616
Persistent link: https://www.econbiz.de/10009787357
Saved in:
8
Game options analysis of the information role of call policies in convertible bonds
Leung, Chi Man
;
Chen, Nan
;
Kwok, Yue-Kuen
- In:
Applied mathematical finance
22
(
2015
)
3/4
,
pp. 297-335
Persistent link: https://www.econbiz.de/10011436213
Saved in:
9
Approximate arbitrage-free option pricing under the SABR model
Yang, Nian
;
Chen, Nan
;
Liu, Yanchu
;
Wan, Xiangwei
- In:
Journal of economic dynamics & control
83
(
2017
),
pp. 198-214
Persistent link: https://www.econbiz.de/10011915586
Saved in:
10
The principle of not feeling the boundary for the SABR model
Chen, Nan
;
Yang, Nian
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 427-436
Persistent link: https://www.econbiz.de/10012194662
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