22 papers
Pricing defaultable debt: some exact results
D. F. Wang
In this letter, I consider the issue of pricing risky debt by following Merton's approach. I generalize Merton's results to the case where the interest rate is modeled by the CIR t…
Hedging The Risk In The Continuous Time Option Pricing Model With Stochastic Stock Volatility
D. F. Wang
In this work, I address the issue of forming riskless hedge in the continuous time option pricing model with stochastic stock volatility. I show that it is essential to verify whet…
Revisiting the Black-Scholes equation
D. F. Wang
In common finance literature, Black-Scholes partial differential equation of option pricing is usually derived with no-arbitrage principle. Considering an asset market, Merton appl…
Parity-locking effect in a strongly-correlated ring
C. A. Stafford, D. F. Wang
Orbital magnetism in an integrable model of a multichannel ring with long-ranged electron-electron interactions is investigated. In a noninteracting multichannel system, the respon…
Interaction-Induced Enhancement and Oscillations of the Persistent Current
C. A. Stafford, D. F. Wang
The persistent current in integrable models of multichannel rings with both short- and long-ranged interactions is investigated. is found to oscillate in sign and increase…
Spinless Calogero-Sutherland model with twisted boundary condition
D. F. Wang
In this work, the spinless Calogero-Sutherland model with twisted boundary condition is studied. The ground state wavefunctions, the ground state energies, the full energy spectrum…