42 citations · 144 across the 29 of their papers we have counts for
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q-fin.PR2010★ 20 cited
American Step-Up and Step-Down Default Swaps under Levy Models
Tim Siu-Tang Leung, Kazutoshi Yamazaki
This paper studies the valuation of a class of default swaps with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These…
q-fin.PR2010★ 26 cited
Optimal Timing to Purchase Options
Tim Leung, Michael Ludkovski
We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market…