H. C. Lee

Department of Physics

Shatin, N.T.

Hong Kong

Hong Kong

SCHOLARLY PAPERS

3

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CITATIONS
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23

Scholarly Papers (3)

1.

A Simple Approach for Pricing Barrier Options with Time-Dependent Parameters

Quantitative Finance, Vol. 3, No. 2, pp. 98-107, 2003
Number of pages: 10 Posted: 07 May 2007
Chi-Fai Lo, H. C. Lee and Cho-Hoi Hui
The Chinese University of Hong Kong, Department of Physics and Hong Kong Monetary Authority - Research Department
Downloads 537 (50,224)
Citation 11

Abstract:

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barrier options, moving boundary, time-dependent parameters

2.

Predictions of Default Probabilities by Models with Dynamic Leverage Ratios

Number of pages: 30 Posted: 28 Mar 2008
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong, Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics and Department of Physics
Downloads 214 (141,580)
Citation 4

Abstract:

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Credit Risk Models, Credit Ratings, Default Probability

3.

Pricing Vulnerable Black-Scholes Options With Dynamic Default Barriers

Journal of Derivatives, Vol. 10. No. 4, pp. 62-69, 2003
Number of pages: 8 Posted: 09 May 2007
Cho-Hoi Hui, Chi-Fai Lo and H. C. Lee
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and Department of Physics
Downloads 192 (156,719)

Abstract:

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Option pricing, Credit risk, Derivatives