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Valuation of vulnerable American options with correlated credit risk

Chang, Lung-fu; Hung, Mao-Wei - In: Review of derivatives research 9 (2006) 2, pp. 137-165

Persistent link: https://www.econbiz.de/10003608132

A generalization of the recursive integration method for the analytic valuation of American options

Chang, Lung-Fu; Guo, Jia-Hau; Hung, Mao-Wei - In: The journal of futures markets 36 (2016) 9, pp. 887-901

Persistent link: https://www.econbiz.de/10011568657

Limit hits and informationally-related stocks

Guo, Jia-Hau; Chang, Lung-Fu; Hung, Mao-Wei - In: Journal of financial markets 34 (2017), pp. 31-47

Persistent link: https://www.econbiz.de/10011815035

Analytical valuation of catastrophe equity options with negative exponential jumps

Chang, Lung-fu; Hung, Mao-wei - In: Insurance / Mathematics & economics 44 (2009) 1, pp. 59-69

Persistent link: https://www.econbiz.de/10008212897

Valuation of vulnerable American options with correlated credit risk

Chang, Lung-Fu; Hung, Mao-Wei - In: Review of derivatives research 9 (2006) 2, pp. 137-166

Persistent link: https://www.econbiz.de/10007795985

Analytical valuation of catastrophe equity options with negative exponential jumps

Chang, Lung-fu; Hung, Mao-wei - In: Insurance / Mathematics & economics 44 (2009) 1, pp. 59-70

Persistent link: https://www.econbiz.de/10008890304

Valuation of vulnerable American options with correlated credit risk

Chang, Lung-Fu; Hung, Mao-Wei - In: Review of Derivatives Research 9 (2006) 2, pp. 137-165

Persistent link: https://www.econbiz.de/10005709823

Analytical valuation of catastrophe equity options with negative exponential jumps

Chang, Lung-fu; Hung, Mao-wei - In: Insurance: Mathematics and Economics 44 (2009) 1, pp. 59-69

A catastrophe put option is valuable in the event that the underlying asset price is below the strike price; in addition, a specified catastrophic event must have happened and influenced the insured company. This paper analyzes the valuation of catastrophe put options under deterministic and...

Persistent link: https://www.econbiz.de/10004973703

The interaction between nonexpected utility and asymmetric market fundamentals

Hung, Mao-Wei - In: The journal of finance : the journal of the American … 49 (1994) 1, pp. 325-343

Persistent link: https://www.econbiz.de/10001169029

An intertemporal international asset pricing model : theory and empirical evidence

Chang, Jow-ran; Errunza, Vihang R.; Hogan, Kedreth C.; … - In: European financial management : the journal of the … 11 (2005) 2, pp. 173-194

Persistent link: https://www.econbiz.de/10003061712

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