C.S. Lau

The Chinese University of Hong Kong

Shatin, N.T.

Hong Kong

Hong Kong

SCHOLARLY PAPERS

2

DOWNLOADS

189

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Option-Implied Correlation between iTraxx Europe Financials and Non-Financials Indexes: A Measure of Spillover Effect in European Debt Crisis

Journal of Banking and Finance, Vol. 37, pp. 3694-3703, 2013
Number of pages: 10 Posted: 31 Mar 2012 Last Revised: 02 Jul 2013
Cho-Hoi Hui, Chi-Fai Lo and C.S. Lau
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong
Downloads 119 (236,620)
Citation 1

Abstract:

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credit default swaps, European debt crisis, option-implied correlation

2.

The Pricing of Basket-Spread Options

Quantitative Finance, Volume 14, Issue 11, pp.1971-1982, 2014
Number of pages: 24 Posted: 14 Mar 2015 Last Revised: 02 Feb 2016
C.S. Lau and Chi-Fai Lo
The Chinese University of Hong Kong and The Chinese University of Hong Kong
Downloads 70 (332,235)

Abstract:

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Multi-variate contingent, Derivatives pricing, Black-Scholes model, Portfolio hedging, Closed-form approximation, Parametric correction