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Pricing catastrophe options in discrete operational time
Chang, Carolyn W.; Chang, Jack S.K.; Lu, WeiLi - In: Insurance: Mathematics and Economics 43 (2008) 3, pp. 422-430
We employ a doubly-binomial process as in Gerber [Gerber, H.U., 1988. Mathematical fun with the compound binomial process. ASTIN Bull. 18, 161-168] to discretize and generalize the continuous "randomized operational time" model of Chang et al. ([Chang, C.W., Chang, J.S.K., Yu, M.T., 1996....
Persistent link: https://www.econbiz.de/10005375372
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Optimum Futures Hedges with Jump Risk and Stochastic Basis
Chang, Carolyn W.; Chang, Jack S.K.; Fang, Hsing - In: The journal of futures markets 16 (1996) 4, pp. 441-458
Persistent link: https://www.econbiz.de/10007313775
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Optimal Futures Hedge with Marking-to-Market and Stochastic Interest Rates
Chang, Carolyn W.; Chang, Jack S.K.; Fang, Hsing - In: The journal of financial research : a publ. of the … 19 (1996) 3, pp. 309-326
Persistent link: https://www.econbiz.de/10007322325
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Option Pricing with Stochastic Volatility: Information-Time vs. Calendar-Time
Chang, Carolyn W.; Chang, Jack S.K. - In: Management science : journal of the Institute for … 42 (1996) 7, pp. 974-991
Persistent link: https://www.econbiz.de/10006102658
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An Implicit Measure of the Effective Bid-Ask Spread: A Note
Chang, Carolyn W.; Chang, Jack S.K. - In: The journal of financial research : a publ. of the … 16 (1993) 1, pp. 71-76
Persistent link: https://www.econbiz.de/10006869769
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Information-time option pricing: theory and empirical evidence
Chang, Carolyn W.; Chang, Jack S.K.; Lim, Kian-Guan - In: Journal of financial economics 48 (1998) 2, pp. 211
Persistent link: https://www.econbiz.de/10006523612
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Cross-sectional tests of the CAPM and Fama–French three-factor model
Chang, Carolyn W.; Chang, Jack S.K.; Lu, WeLi - In: Journal of banking & finance 34 (2010) 2, pp. 457-471
Persistent link: https://www.econbiz.de/10008349499
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Corrigendum to “Pricing catastrophe options with stochastic arrival intensity in claim time” [J. Bank. Fin. 34 (2010) 24–32]
Chang, Carolyn W.; Chang, Jack S.K.; Lu, WeiLi - In: Journal of banking & finance 34 (2010) 3, pp. 695-696
Persistent link: https://www.econbiz.de/10008352534
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Pricing catastrophe options in discrete operational time
Chang, Carolyn W.; Chang, Jack S.K.; Lu, Weili - In: Insurance / Mathematics & economics 43 (2008) 3, pp. 422-430
Persistent link: https://www.econbiz.de/10008149206
Cover Image
Pricing catastrophe options in discrete operational time
Chang, Carolyn W.; Chang, Jack S.K.; Lu, WeiLi - In: Insurance / Mathematics & economics 43 (2008) 3, pp. 422-431
Persistent link: https://www.econbiz.de/10008893152