Shijun Wang

Queen Mary, University of London - Department of Economics

Mile End Road

London, E1 4NS

United Kingdom

SCHOLARLY PAPERS

2

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636

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0

CROSSREF CITATIONS

10

Scholarly Papers (2)

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 336 (90,544)

Abstract:

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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 300 (102,538)
Citation 15

Abstract:

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