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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

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

Valuing the strategic option to sell life insurance business : theory and evidence

Klumpes, Paul J. M.; Shackleton, Mark B. - In: Journal of banking & finance 24 (2000) 10, pp. 1681-1702

Persistent link: https://www.econbiz.de/10001511634

An empirical investigation of UK option returns : overpricing and the role of higher systematic moments

Shackleton, Mark B. (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002625331

Hedging efficiency in the Greek options market before and after the financial crisis of 2008

Shackleton, Mark B.; Voukelatos, Nikolaos - In: Journal of multinational financial management 23 (2013) 1/2, pp. 1-18

Persistent link: https://www.econbiz.de/10009728527

Empirical pricing kernels obtained from the UK index options market

Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Applied economics letters 16 (2009) 10/12, pp. 989-993

Persistent link: https://www.econbiz.de/10003886597

Asymmetric effects of volatility risk on stock returns : evidence from VIX and VIX futures

Fu, Xi; Sandri, Matteo; Shackleton, Mark B. - In: The journal of futures markets 36 (2016) 11, pp. 1029-1056

Persistent link: https://www.econbiz.de/10011569013

Hedging Efficiency in the Greek Options Market Before and after the Financial Crisis of 2008

Shackleton, Mark B. - 2013

This study examines the hedging effectiveness of the emerging Greek options market before and after the financial crisis of 2008. We test the hypothesis of market efficiency by analyzing violations of FTSE/ASE-20 index option returns with respect to standard option theory, estimating option...

Persistent link: https://www.econbiz.de/10013072045

The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index

Chung, San-lin; Tsai, Wei-che; Wang, Yaw-huei; Weng, … - In: The journal of futures markets 31 (2011) 12, pp. 1170-1201

Persistent link: https://www.econbiz.de/10009355722

Static hedging and pricing American knock-out options

Chung, San-lin; Shih, Pai-ta; Tsai, Wei-che - In: The journal of derivatives : the official publication … 20 (2013) 4, pp. 23-48

Persistent link: https://www.econbiz.de/10009760549