Andrea Ling

University of California, Berkeley - Haas School of Business

545 Student Services Building, #1900

2220 Piedmont Avenue

Berkeley, CA 94720

United States

  • University of California, Berkeley - Haas School of Business

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Simple Computational Methods For Pricing Equity Default Swaps

Number of pages: 13 Posted: 31 May 2007
Guanghua Cao, Nathan Coelen, Andrea Ling and Roderick MacLeod
Morgan Stanley, Morgan Stanley, University of California, Berkeley - Haas School of Business and Rodel Tech Financial
Downloads 383 (151,372)
Citation 1

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Equity Default Swap, hybrid credit-equity instrument, equity, credit, pricing methods, accelerated simulation, real-time pricing

2.

Simple Computational Methods for Pricing a Down and Out Basket Bermudan Put

Number of pages: 11 Posted: 30 May 2007
Guanghua Cao, Nathan Coelen, Andrea Ling and Roderick MacLeod
Morgan Stanley, Morgan Stanley, University of California, Berkeley - Haas School of Business and Rodel Tech Financial
Downloads 302 (195,605)

Abstract:

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Down and Out Option, Bermudan Option, Basket Option, Stirke, Basket of Stocks, Weekly Exercise Intervals, Automatic Exercise, Accelerate Pricing Methods, Accelerated Simulation, Accurate Pricing, Real-Time Pricing, Greeks, Delta, Gamma, Vega, Theta, Rho