The least cost super replicating portfolio in the Boyle-Vorst model with transaction costs

von Chen, Guan-Yu
Veröffentlicht in International journal of theoretical and applied finance (2008)

The least cost superreplicating portfolio for short puts and calls in the Boyle-Vorst model with transaction costs

von Chen, Guan-yu
Veröffentlicht in Advances in quantitative analysis of finance and accounting (2007)

Pricing perpetual American compound options under a matrix-exponential jump-diffusion model

von Chang, Ming-Chi
Veröffentlicht in Applied mathematical finance (-2015)

An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model

von Chen, Yu-Ting
Veröffentlicht in Finance and stochastics (2007)