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    Analytical Bounds for Treasury Bond Futures Prices

    The pricing of delivery options, particularly timing options, in Treasury bond futures is prohibitively expensive. Recursive use of the lattice model is unavoidable for valuing such options, as Boyle (1989) demon...

    Ren-Raw Chen, Shih-Kuo Yeh in Handbook of Financial Econometrics and Statistics (2015)

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    Nonparametric Bounds for European Option Prices

    There is much research whose efforts have been devoted to discovering the distributional defects in the Black-Scholes model, which are known to cause severe biases. However, with a free specification for the d...

    Hsuan-Chu Lin, Ren-Raw Chen, Oded Palmon in Handbook of Financial Econometrics and Sta… (2015)

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    Credit Derivatives

    Credit derivatives are instruments used to measure, manage, and transfer credit risk. Recently, there has been an explosive growth in the use of these instruments in the financial markets. This article reviews...

    Ren-Raw Chen, **g-Zhi Huang in Encyclopedia of Finance (2013)

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    Credit Risk Modeling: A General Framework

    The two well-known approaches for credit risk modeling, structural and reduced form approaches, have their advantages and disadvantages. Due to the fundamentally different assumptions of the two approaches, th...

    Ren-Raw Chen in Encyclopedia of Finance (2013)

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    Chapter

    Implementing a Multifactor Term Structure Model

    In this paper, we describe the methodology of how to implement a multifactor Cox–Ingersoll–Ross (CIR) models for the term structure of interest rates and its derivatives. We demonstrate how to calibrate the mo...

    Ren-Raw Chen, Louis O. Scott in Handbook of Quantitative Finance and Risk Management (2010)

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    Chapter

    Displaced Log Normal and Lognormal American Option Pricing: A Comparison

    This paper compares the American option prices with one known dividend under two alternative specifications of the underlying stock price: displaced log normal and log normal processes. Many option pricing mod...

    Ren-Raw Chen, Cheng-Few Lee in Handbook of Quantitative Finance and Risk Management (2010)

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    Chapter

    Dividends Versus Reinvestments in Continuous Time: A More General Model

    We present a continuous-time model of asset valuation in which the generated income follows a stochastic process, and the asset-owner allocates this income between reinvestment and payout. The income generatin...

    Ren-Raw Chen, Ben Logan, Oded Palmon… in Handbook of Quantitative Finance and Risk … (2010)

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    Chapter

    Are Tails Fat Enough to Explain Smile

    It has been well documented that using the Black-Scholes model to price options with different strikes generates the so-called volatility smile. Many previous papers have attributed the smile to the normality ...

    Ren-Raw Chen, Oded Palmon… in Handbook of Quantitative Finance and Risk Management (2010)

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    Chapter

    A Constant Elasticity of Variance (CEV) Family of Stock Price Distributions in Option Pricing, Review, and Integration

    One of the important issues in option pricing is to find a stock return distribution that allows the stock rate of return and its volatility to depend on each other. Cox’s (Notes on option pricing I: constant ...

    Ren-Raw Chen, Cheng-Few Lee in Handbook of Quantitative Finance and Risk Management (2010)

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    Reference Work Entry In depth

    Credit derivatives

    Credit derivatives are instruments used to measure, manage, and transfer credit risk. Recently, there has been an explosive growth in the use of these instruments in the financial markets. This article reviews...

    Ren-Raw Chen, **g-Zhi Huang in Encyclopedia of Finance (2006)