Ren-Raw Chen

8 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0002-5613-4097

Publications

• Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure* — Review of Finance 2013
• An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors — Journal of Financial and Quantitative Analysis 2008
• The Valuation of Default-Triggered Credit Derivatives — Journal of Financial and Quantitative Analysis 2003 (name-matched, not ORCID-linked)
• Analytical Upper Bounds for American Option Prices — Journal of Financial and Quantitative Analysis 2002
• Option Pricing in a Multi-Asset, Complete Market Economy — Journal of Financial and Quantitative Analysis 2002
• Pricing Interest Rate Options in a Two-Factor Cox–Ingersoll–Ross model of the Term Structure — The Review of Financial Studies 1992
• Exact Solutions for Futures and European Futures Options on Pure Discount Bonds — Journal of Financial and Quantitative Analysis 1992
• Pricing Stock and Bond Options when the Default-Free Rate Is Stochastic: A Comment — Journal of Financial and Quantitative Analysis 1991