Yu-Hong Liu

National Cheng Kung University

No.1, University Road

Tainan

Taiwan

SCHOLARLY PAPERS

2

DOWNLOADS

146

SSRN CITATIONS

0

CROSSREF CITATIONS

4

Scholarly Papers (2)

1.

Valuation of Double Trigger Catastrophe Options with Counterparty Risk

Number of pages: 53 Posted: 29 Mar 2012 Last Revised: 29 Aug 2013
National Chung Hsing University - Department of Finance , Faculty of Finance, College of Management, Yuan Ze University, National Cheng Kung University and National Cheng Kung University - Graduate Institute of Finance
Downloads 87 (355,826)

Abstract:

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Catastrophe, Stochastic Interest Rate, Counterparty Risk, Compound Poison

2.

The Valuation of Reset Options When Underlying Assets are Autocorrelated

The International Journal of Business and Finance Research, Vol. 5, No. 2, pp. 95-114, 2011
Number of pages: 20 Posted: 03 Jul 2011
National Cheng Kung University, Yuan Ze University, Yuan Ze University and affiliation not provided to SSRN
Downloads 59 (440,169)

Abstract:

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Reset Option, Autocorrelation; MA(q) process, Delta Jump; Gamma Jump