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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

The simplest American and real option approximations : Geske-Johnson interpolation in maturity and yield

Chung, San-Lin; Shackleton, Mark B. - In: Applied economics letters 10 (2003) 11, pp. 709-716

Persistent link: https://www.econbiz.de/10001820267

The Binominal Black-Scholes model and the Greeks

Chung, San-lin; Shackleton, Mark B. - In: The journal of futures markets 22 (2002) 2, pp. 143-153

Persistent link: https://www.econbiz.de/10001646605

On the errors and comparison of Vega estimation methods

Chung, San-lin; Shackleton, Mark B. - In: The journal of futures markets 25 (2005) 1, pp. 21-38

Persistent link: https://www.econbiz.de/10002528175

Efficient quadrature and node positioning for exotic option valuation

Chung, San-lin; Ko, Kunyi; Shackleton, Mark B.; Yeh, … - In: The journal of futures markets 30 (2010) 11, pp. 1026-1057

Persistent link: https://www.econbiz.de/10008900940

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

Generalised Geske Johnson Interpolation of Option Prices

Chung, San-Lin - 2006

This paper describes four separate option types as special cases of Bermudans with general inter - exercise and time to final maturity. This produces a surface with European, finite American, infinite Bermudan and infinite American options as special cases. This allows Geske-Johnson 1984)...

Persistent link: https://www.econbiz.de/10012779281

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

Pricing American options on foreign assets in a stochastic interest rate economy

Chung, San-lin - In: Journal of financial and quantitative analysis : JFQA 37 (2002) 4, pp. 667-692

Persistent link: https://www.econbiz.de/10001724585