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On the rate of convergence of binomial greeks

Chung, San-lin; Hung, Weifeng; Lee, Han-hsing; Shih, Pai-ta - In: The journal of futures markets 31 (2011) 6, pp. 562-597

Persistent link: https://www.econbiz.de/10009009216

A modified static hedging method for continuous barrier options

Chung, San-lin; Shih, Pai-ta; Tsai, Wei-che - In: The journal of futures markets 30 (2010) 12, pp. 1150-1166

Persistent link: https://www.econbiz.de/10008901292

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

On the Rate of Convergence of Binomial Greeks

Shih, Pai-Ta - 2009

This paper investigates the convergence patterns and the rates of convergence of binomial Greeks for the CRR model and several smooth-convergence models in the literature, including the binomial Black-Scholes (BBS) model of Broadie and Detemple (1996), the flexible binomial model (FB) of Tian...

Persistent link: https://www.econbiz.de/10013157096

Real options and earnings-based bonus compensation

Huang, Hsing-hua; Huang, Hongming; Shih, Pai-ta - In: Journal of banking & finance 36 (2012) 8, pp. 2389-2402

Persistent link: https://www.econbiz.de/10009656246

Revisiting almost second-degree stochastic dominance

Tzeng, Larry Y.; Huang, Rachel J.; Shih, Pai-ta - In: Management science : journal of the Institute for … 59 (2013) 5, pp. 1250-1254

Persistent link: https://www.econbiz.de/10009751102

Investment with network externality under uncertainty

Lu, Chia-chi; Hung, Weifeng; Sheu, Jyh-jian; Shih, Pai-ta - In: Review of quantitative finance and accounting 36 (2011) 4, pp. 555-564

Persistent link: https://www.econbiz.de/10009272397

The overall effect of volatility on investment

Shih, Pai-ta; Hung, Weifeng - In: Economics letters 99 (2008) 2, pp. 324-327

Persistent link: https://www.econbiz.de/10003723790

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

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