Shijun Wang

Queen Mary, University of London - Department of Economics

Mile End Road

London, E1 4NS

United Kingdom

  • Queen Mary, University of London - Department of Economics

SCHOLARLY PAPERS

2

DOWNLOADS

745

TOTAL CITATIONS

16

Scholarly Papers (2)

Actions:
Email selected abstracts
1.

Pricing American Option Based on a Chebyshev Approximation of the Early Exercise Boundary

Number of pages: 35 Posted: 24 Feb 2002
Elias Tzavalis and Shijun Wang
University of London - Queen Mary - Department of Economics and Queen Mary, University of London - Department of Economics
Downloads 374 (170,275)

Abstract:

Loading...

American option price, early exercise boundary, Chebyshev approximation, stochastic volatility

2.

Pricing American Options Under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary

U of London Queen Mary Economics Working Paper No. 488
Number of pages: 46 Posted: 17 May 2003
Elias Tzavalis and Shijun Wang
University of London - Queen Mary - Department of Economics and Queen Mary, University of London - Department of Economics
Downloads 371 (171,846)
Citation 16

Abstract:

Loading...