K. C. Ku

The Chinese University of Hong Kong (CUHK)

Shatin, N.T.

Hong Kong

Hong Kong

SCHOLARLY PAPERS

2

DOWNLOADS

316

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Valuing Time-Dependent CEV Barrier Options

Journal of Applied Mathematics and Decision Sciences, pp. 1-17, 2009
Number of pages: 20 Posted: 29 Mar 2008 Last Revised: 10 Aug 2009
The Chinese University of Hong Kong, The Chinese University of Hong Kong (CUHK), The Chinese University of Hong Kong (CUHK) and Hong Kong Monetary Authority - Research Department
Downloads 171 (178,709)

Abstract:

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CEV option, similarity transformation, Bessel equation, moving barrier

2.

Pricing Vulnerable European Options With Stochastic Default Barriers

IMA Journal of Management Mathematics, Vol. 18, No. 4, pp. 315-329, 2007
Number of pages: 15 Posted: 31 May 2007
Cho-Hoi Hui, Chi-Fai Lo and K. C. Ku
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Downloads 145 (205,385)

Abstract:

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option pricing, credit risk, derivatives