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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

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

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

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

Generalized analytical upper bounds for American option prices

Chung, San-lin; Chang, Hsieh-chung - In: Journal of financial and quantitative analysis : JFQA 42 (2007) 1, pp. 209-227

Persistent link: https://www.econbiz.de/10003434630

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/10006695089

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/10006695090

Generalized Analytical Upper Bounds for American Option Prices

Chung, San-Lin; Chang, Hsieh-Chung - In: Journal of financial and quantitative analysis : JFQA 42 (2007) 1, pp. 209-228

Persistent link: https://www.econbiz.de/10007614816

The Impact of Derivatives Hedging on Stock Market : Evidence from Taiwan Covered Warrants Market

Chung, San-Lin - 2017

This paper examines the hedging impact on the underlying stock market using a comprehensive dataset of covered warrants traded in the Taiwan Stock Exchange (TWSE). Since TWSE requires the warrant issuers to conduct dynamic hedging over the life of warrants, we can estimate the number of shares...

Persistent link: https://www.econbiz.de/10012975829