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A generalized Brennan-Rubinstein approach for valuing options with stochastic interest rates

Chang, Chuang-chang; Tsay, Min-Hung; Lin, Jun-Biao - In: The quarterly review of economics and finance : journal … 67 (2018), pp. 92-99

Persistent link: https://www.econbiz.de/10012034430

Axiomatic and strategic justifications for the constrained equal benefits rule in the airport problem

Hu, Cheng-Cheng; Tsay, Min-Hung; Yeh, Chun-Hsien - In: Games and Economic Behavior 75 (2012) 1, pp. 185-197

We consider the “airport problem”, which is concerned with sharing the cost of an airstrip among agents who need airstrips of different lengths. We investigate the implications of two properties, Left-endpoint Subtraction (LS) bilateral consistency and LS converse consistency, in the airport...

Persistent link: https://www.econbiz.de/10011049883

Strategic justifications of the TAL family of rules for bankruptcy problems

Moreno-Ternero, Juan D.; Tsay, Min-Hung; Yeh, Chun-hsien - In: International journal of economic theory 18 (2022) 1, pp. 92-102

Persistent link: https://www.econbiz.de/10013161979

A study of the nucleolus in the nested cost-sharing problem : axiomatic and strategic perspectives

Hu, Cheng-Cheng; Tsay, Min-Hung; Yeh, Chun-hsien - In: Games and economic behavior 109 (2018), pp. 82-98

Persistent link: https://www.econbiz.de/10012173182

Relations among the central rules in bankruptcy problems : a strategic perspective

Tsay, Min-Hung; Yeh, Chun-hsien - In: Games and economic behavior 113 (2019), pp. 515-532

Persistent link: https://www.econbiz.de/10012174528

A strategic justification of the Talmud rule based on lower and upper bounds

Moreno-Ternero, Juan D.; Tsay, Min-Hung; Yeh, Chun-hsien - In: International journal of game theory : official journal … 49 (2020) 4, pp. 1045-1057

Persistent link: https://www.econbiz.de/10012591856

Modeling temperature behaviors : Application to weather derivative valuation

Huang, Jr-Wei; Yang, Sharon S.; Chang, Chuang-Chang - In: Journal of Futures Markets 38 (2018) 9, pp. 1152-1175

Persistent link: https://www.econbiz.de/10012082119

Loan guarantee portfolios and joint loan guarantees with stochastic interest rates

Chang, Chuang-Chang; Chung, San-Lin; Yu, Min-Teh - In: The Quarterly Review of Economics and Finance 46 (2006) 1, pp. 16-35

Persistent link: https://www.econbiz.de/10005388474

Using Richardson extrapolation techniques to price American options with alternative stochastic processes

Chang, Chuang-Chang; Lin, Jun-Biao; Tsai, Wei-Che; … - In: Review of Quantitative Finance and Accounting 39 (2012) 3, pp. 383-406

In this paper the authors investigate the performance of the original and repeated Richardson extrapolation methods for American option pricing by implementing both the original and modified Geske–Johnson approximation formulae. A comprehensive numerical comparison includes alternative...

Persistent link: https://www.econbiz.de/10010867627

Re-examining the investment-uncertainty relationship in a real options model

Chang, Chuang-Chang; Chen, Miao-Ying - In: Review of Quantitative Finance and Accounting 38 (2012) 2, pp. 241-255

Persistent link: https://www.econbiz.de/10010867722