Pai-Ta Shih

Department of Finance, National Taiwan University

Associate Professor

1, Sec. 4, Roosevelt Road

Taipei, 106

Taiwan

SCHOLARLY PAPERS

2

DOWNLOADS

226

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

´╗┐On the Rate of Convergence of Binomial Greeks

22nd Australasian Finance and Banking Conference 2009
Number of pages: 39 Posted: 15 Aug 2009
Pai-Ta Shih
Department of Finance, National Taiwan University
Downloads 226 (142,282)

Abstract:

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Binomial model, Greeks, Monotonic convergence, Rate of convergence

2.

Static Hedging and Pricing American Knock-Out Options

Journal of Derivatives, Forthcoming
Posted: 02 May 2017
Chung San-Lin, Pai-Ta Shih and Wei-Che Tsai
National Taiwan University, Department of Finance, National Taiwan University and Oregon State University

Abstract:

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Static hedge; American barrier options; Value-matching condition; Smooth-pasting condition