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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

The valuation of multivariate contingent claims under transformed trinomial approaches

Chang, Chuang-Chang; Lin, Jun-Biao - In: Review of Quantitative Finance and Accounting 34 (2010) 1, pp. 23-36

Persistent link: https://www.econbiz.de/10008502647

Pricing credit card loans with default risks: a discrete-time approach

Chang, Chuang-Chang; Ho, Ruey-Jenn; Lee, Chengfew - In: Review of Quantitative Finance and Accounting 34 (2010) 4, pp. 413-438

Persistent link: https://www.econbiz.de/10008552502