Cho-Hoi Hui

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach Quantitative Finance	2019-01-14	Paper
Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities Asia-Pacific Financial Markets	2013-07-26	Paper
Valuing double barrier options with time-dependent parameters by Fourier series expansion	2011-12-03	Paper
PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS International Journal of Theoretical and Applied Finance	2008-09-03	Paper
Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary Applied Mathematics Letters	2008-04-10	Paper
Pricing vulnerable European options with stochastic default barriers IMA Journal of Management Mathematics	2007-12-18	Paper
Lie-algebraic approach for pricing moving barrier options with time-dependent parameters Journal of Mathematical Analysis and Applications	2006-12-07	Paper
EFFECT OF ASSET VALUE CORRELATION ON CREDIT-LINKED NOTE VALUES International Journal of Theoretical and Applied Finance	2005-06-22	Paper
Valuation model of defaultable bond values in emerging markets Asia-Pacific Financial Markets	2004-01-14	Paper
CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS International Journal of Theoretical and Applied Finance	2003-03-18	Paper
Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach International Journal of Mathematics and Mathematical Sciences	2003-01-13	Paper
OPTION RISK MEASUREMENT WITH TIME-DEPENDENT PARAMETERS International Journal of Theoretical and Applied Finance	2001-01-02	Paper
A NOTE ON RISKY BOND VALUATION International Journal of Theoretical and Applied Finance	2001-01-02	Paper
Comment on ``Pricing double barrier options using Laplace transforms by Antoon Pelsser Finance and Stochastics	2000-05-24	Paper

Research outcomes over time

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