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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

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

Persistent link: https://www.econbiz.de/10009673702

The effect of stochastic interest rates on a firm's capital structure under a generalized model

Chang, Chuang-chang; Lin, Jun-Biao; Yang, Chun-Chieh - In: Review of quantitative finance and accounting 45 (2015) 4, pp. 695-719

Persistent link: https://www.econbiz.de/10011532102

A generalized Brennan-Rubinstein approach for valuing options with stochastic interest rates

Chang, Chuang-chang; Tsay, Min-Hung; Lin, Jun-Biao - In: The quarterly review of economics and finance : journal … 67 (2018), pp. 92-99

Persistent link: https://www.econbiz.de/10012034430

Hedging strategy comparisons of volatility index options using diffusion models

Lin, Jun-Biao - In: The international journal of business and finance … 9 (2015) 3, pp. 59-69

Persistent link: https://www.econbiz.de/10011285427

The role of information uncertainty in moving-average technical analysis : a study of individual stock-option issuance in Taiwan

Chen, Chien-Hua; Su, Xuan-Qi; Lin, Jun-Biao - In: Finance research letters 18 (2016), pp. 263-272

Persistent link: https://www.econbiz.de/10011657063

Loan guarantee portfolios and joint loan guarantees with stochastic interest rates

Chang, Chuang-chang; Chung, San-Lin; Yu, Min-Teh - In: The quarterly review of economics and finance : journal … 46 (2006) 1, pp. 16-35

Persistent link: https://www.econbiz.de/10003305611