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Barrier caps and floors under the LIBOR market model with double exponential jumps
Chang, Jui-jane; Chen, Son-nan; Wang, Chun-chao; Wu, … - In: The journal of derivatives : the official publication … 21 (2014) 4, pp. 7-30
Persistent link: https://www.econbiz.de/10010387683
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A note to enhance the BPW model for the pricing of basket and spread options
Chang, Jui-jane; Chen, Son-nan; Wu, Ting-pin - In: The journal of derivatives : the official publication … 19 (2012) 3, pp. 77-82
Persistent link: https://www.econbiz.de/10009671104
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Analytical valuation of exotic double barrier options
Chang, Jui-Jane; Pai, Hui-Ming; Wu, Ting-Pin - In: The journal of derivatives : JOD 28 (2021) 3, pp. 97-122
Persistent link: https://www.econbiz.de/10012486032
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Pricing and risk management of multi-assets financial instruments to natural disasters
Chang, Jui-Jane; Huang, Pao-Hsien; Wu, Ting-Pin - In: Emerging markets, finance & trade : a journal of the … 60 (2024) 1, pp. 19-43
Persistent link: https://www.econbiz.de/10014444330
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Valuation of interest rate spread options in a multifactor LIBOR market model
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 16 (2008/09) 3, pp. 38-52
Persistent link: https://www.econbiz.de/10003852622
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Analytical valuation of barrier interest rate options under market models
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 17 (2009/10) 1, pp. 21-37
Persistent link: https://www.econbiz.de/10003892315
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Cross-currency equity swaps in the BGM model
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 15 (2007) 2, pp. 60-76
Persistent link: https://www.econbiz.de/10003673317
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Equity swaps in a LIBOR market model
Wu, Ting-pin; Chen, Son-nan - In: The journal of futures markets 27 (2007) 9, pp. 893-920
Persistent link: https://www.econbiz.de/10003518527
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Valuation of CMS spread options with nonzero strike rates in the LIBOR market model
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 19 (2011) 1, pp. 41-55
Persistent link: https://www.econbiz.de/10009316812
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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