3 citations · 10 across the 28 of their papers we have counts for
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q-fin.PR2012
Lower Bound Approximation to Basket Option Values for Local Volatility Jump-Diffusion Models
Guoping Xu, Harry Zheng
In this paper we derive an easily computed approximation to European basket call prices for a local volatility jump-diffusion model. We apply the asymptotic expansion method to fin…
q-fin.PR2012
On Pricing Basket Credit Default Swaps
Jia-Wen Gu, Wai-Ki Ching, Tak-Kuen Siu +1
In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the…
q-fin.PR2010
A la Carte of Correlation Models: Which One to Choose?
Harry Zheng
In this paper we propose a copula contagion mixture model for correlated default times. The model includes the well known factor, copula, and contagion models as its special cases.…