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  • Search: person:"Chang, Hsieh-Chung"
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Year of publication
Subject
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Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Theorie 1 Theory 1
Type of publication
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Article 3
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Undetermined 2 English 1
Author
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Chang, Hsieh-Chung 2 Chung, San-Lin 2 Chang, Hsieh-chung 1 Chung, San-lin 1
Published in...
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Journal of financial and quantitative analysis : JFQA 2 Journal of Financial and Quantitative Analysis 1
Source
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ECONIS (ZBW) 1 OLC EcoSci 1 RePEc 1
Showing 1 - 3 of 3
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Generalized analytical upper bounds for American option prices
Chung, San-lin; Chang, Hsieh-chung - In: Journal of financial and quantitative analysis : JFQA 42 (2007) 1, pp. 209-227
Persistent link: https://www.econbiz.de/10003434630
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Cover Image
Generalized Analytical Upper Bounds for American Option Prices
Chung, San-Lin; Chang, Hsieh-Chung - In: Journal of Financial and Quantitative Analysis 42 (2007) 01, pp. 209-227
This paper generalizes and tightens Chen and Yeh's (2002) analytical upper bounds for American options under stochastic interest rates, stochastic volatility, and jumps, where American option prices are difficult to compute with accuracy. We first generalize Theorem 1 of Chen and Yeh (2002) and...
Persistent link: https://www.econbiz.de/10005609934
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Cover Image
Generalized Analytical Upper Bounds for American Option Prices
Chung, San-Lin; Chang, Hsieh-Chung - In: Journal of financial and quantitative analysis : JFQA 42 (2007) 1, pp. 209-228
Persistent link: https://www.econbiz.de/10007614816
Saved in:
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