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Efficient quadrature and node positioning for exotic option valuation
Chung, San-lin; Ko, Kunyi; Shackleton, Mark B.; Yeh, … - In: The journal of futures markets 30 (2010) 11, pp. 1026-1057
Persistent link: https://www.econbiz.de/10008900940
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Generalised Geske-Johnson interpolation of option prices
Chung, San-Lin; Shackleton, Mark B. - In: Journal of business finance & accounting : JBFA 34 (2007) 5/6, pp. 976-1001
Persistent link: https://www.econbiz.de/10003507253
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On the use and improvement of Hull and White's control variate technique
Chung, San-Lin; Shackleton, Mark B. - In: Applied financial economics 15 (2005) 16, pp. 1171-1179
Persistent link: https://www.econbiz.de/10003213709
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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
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The Binominal Black-Scholes model and the Greeks
Chung, San-lin; Shackleton, Mark B. - In: The journal of futures markets 22 (2002) 2, pp. 143-153
Persistent link: https://www.econbiz.de/10001646605
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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
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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
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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
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On the errors and comparison of Vega estimation methods
Chung, San-Lin; Shackleton, Mark - In: The journal of futures markets 25 (2005) 1, pp. 21-38
Persistent link: https://www.econbiz.de/10006809999
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Efficient quadratic approximation of floating strike Asian option values
Chung, San-Lin; Shackleton, Mark; Wojakowski, Rafal - In: Finance : revue de l'Association Française de Finance 24 (2003) 1, pp. 49-62
Persistent link: https://www.econbiz.de/10009918885