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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

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

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

Valuation and hedging of American-style lookback and barrier options

Chang, Chuang-chang; Chung, San-lin - In: Advances in investment analysis and portfolio … 8 (2001), pp. 19-37

Persistent link: https://www.econbiz.de/10001640860

Option pricing in a multi-asset, complete market economy

Chen, Ren-Raw; Chung, San-lin; Yang, Tyler T. - In: Journal of financial and quantitative analysis : JFQA 37 (2002) 4, pp. 649-666

Persistent link: https://www.econbiz.de/10001724575

CB asset swaps and CB options : structure and pricing

Chung, San-lin; Lai, Hsiao-wei; Lin, Shu-ying; Gang, Shyy - In: Jingji-lunwen 32 (2004) 1, pp. 23-51

Persistent link: https://www.econbiz.de/10002115755

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

The Impact of Liquidity on Option Prices

Chou, Robin K. - 2019

This article illustrates the impact of both spot and option liquidity levels on option prices. Using implied volatility to measure the option price structure, our empirical results reveal that even after controlling for the systematic risk of Duan and Wei (2009), a clear link remains between...

Persistent link: https://www.econbiz.de/10012906109