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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 46 (2006) 1, pp. 16-35

Persistent link: https://www.econbiz.de/10005388474

Valuation and Hedging of Differential Swaps

Chang, Chuang-Chang; Chung, San-Lin; Yu, Min-Teh - In: The journal of futures markets 22 (2002) 1, pp. 73

Persistent link: https://www.econbiz.de/10006829304

Pricing Asian-Style Interest Rate Swaps

Chang, Chuang-Chang; Chung, San-Lin - In: The journal of derivatives : the official publication … 9 (2002) 4, pp. 45-55

Persistent link: https://www.econbiz.de/10005942587

Pricing options with American-style average reset features

Chang, Chuang-Chang; Chung, San-Lin; Shackleton, Mark - In: Quantitative Finance 4 (2004) 3, pp. 292-300

This study extends the Hull and White (1993 J. Derivatives 1 21-31) binomial method to construct a trinomial model for the valuation of American-style options whose strike price can be reset to a new level. The reset criterion is conditioned upon the average underlying asset price hitting the...

Persistent link: https://www.econbiz.de/10009215046

Richardson extrapolation techniques for the pricing of American-style options

Chang, Chuang-Chang; Chung, San-Lin; Stapleton, Richard C. - In: The journal of futures markets 27 (2007) 8, pp. 791

Persistent link: https://www.econbiz.de/10007748536

Pricing Asian-style interest rate swaps

Chang, Chuang-Chang; Chung, San-Lin - In: The journal of derivatives : the official publication … 9 (2002) 4, pp. 45-55

Persistent link: https://www.econbiz.de/10001708447

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

Valuation and hedging of differential swaps

Chang, Chuang-chang; Chung, San-lin; Yu, Min-Teh - In: The journal of futures markets 22 (2002) 1, pp. 73-94

Persistent link: https://www.econbiz.de/10001646596

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/10007634833

Richardson extrapolation techniques for the pricing of American-style options

Chang, Chuang-chang; Chung, San-lin; Stapleton, Richard C. - In: The journal of futures markets 27 (2007) 8, pp. 791-817

Persistent link: https://www.econbiz.de/10003518516