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Efficient quadratic approximation of floating strike Asian option values

Chung, San-Lin; Shackleton, Mark B.; Wojakowski, Rafal - In: Finance : revue de l'Association Française de Finance 24 (2003) 1, pp. 49-62

Persistent link: https://www.econbiz.de/10001771593

Generalised Geske-Johnson interpolation of option prices

Chung, San-Lin; Shackleton, Mark B. - In: Journal of business finance & accounting : JBFA 34 (2007) 5/6, pp. 976-1001

Persistent link: https://www.econbiz.de/10003507253

On the use and improvement of Hull and White's control variate technique

Chung, San-Lin; Shackleton, Mark B. - In: Applied financial economics 15 (2005) 16, pp. 1171-1179

Persistent link: https://www.econbiz.de/10003213709

American option valuation under stochastic interest rates

Chung, San-Lin - In: Review of derivatives research 3 (1999) 3, pp. 283-307

Persistent link: https://www.econbiz.de/10001493261

Continuous Workout Mortgages : efficient pricing and systemic implications

Shiller, Robert J.; Wojakowski, Rafal M.; Ebrahim, … - In: Journal of economic behavior & organization : JEBO 157 (2019), pp. 244-274

Persistent link: https://www.econbiz.de/10012138488

Continuous workout mortgages : efficient pricing and systemic implications

Shiller, Robert J.; Wojakowski, Rafal M.; Ebrahim, … - 2017

Persistent link: https://www.econbiz.de/10011797272

Continuous workout mortgages

Shiller, Robert J.; Wojakowski, Rafal M.; Ebrahim, … - 2011

This paper models ContinuousWorkout Mortgages (CWMs) in an economic environment with refinancings and prepayments by employing a market-observable variable such as the house price index of the pertaining locality. Our main results include: (a) explicit modelling of repayment and interest-only...

Persistent link: https://www.econbiz.de/10009008194

Continuous workout mortgages

Shiller, Robert J.; Wojakowski, Rafal M.; Ebrahim, … - 2011

Persistent link: https://www.econbiz.de/10009129887

Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages

Wojakowski, Rafal M.; Ebrahim, Muhammed Shahid; … - In: Journal of banking & finance 71 (2016), pp. 62-74

Persistent link: https://www.econbiz.de/10011635327

The accuracy and efficiency of alternative option pricing approaches relative to a log-transformed trinomial model

Chen, Hsuan-Chi; Chen, David M.; Chung, San-Lin - In: The journal of futures markets 22 (2002) 6, pp. 557-577

Persistent link: https://www.econbiz.de/10001696661