Chung San-Lin

National Taiwan University

21 Hsiu Chow Rd

Taipei, 10020

Taiwan

SCHOLARLY PAPERS

4

DOWNLOADS

688

CITATIONS

0

Scholarly Papers (4)

1.

The Information Content of the S&P 500 Index and VIX Options on the Dynamics of the S&P 500 Index

Journal of Futures Markets
Number of pages: 45 Posted: 20 Nov 2010 Last Revised: 01 Oct 2013
National Taiwan University, Oregon State University, UNSW and National Dong Hwa University - Department of Finance
Downloads 453 (61,522)
Citation 8

Abstract:

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VIX options, Index options, Put-call parity, Implied volatility, Implied density.

2.

Bounds and Prices of Currency Cross-Rate Options

Journal of Banking and Finance, Vol. 32, No. 5, 2008
Number of pages: 32 Posted: 18 Feb 2006 Last Revised: 27 Feb 2019
Chung San-Lin and Yaw-Huei Wang
National Taiwan University and UNSW
Downloads 182 (162,703)
Citation 5

Abstract:

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Option pricing, option bounds, exchange rates, cross-rate, correlation, copulas

3.

Investor Network: Implications for Information Diffusion and Asset Prices

Number of pages: 51 Posted: 16 Dec 2015 Last Revised: 16 Feb 2018
Chung San-Lin, Wenchien Liu, Wen-Rang Liu and Kevin Tseng
National Taiwan University, Chung Yuan Christian University - Department of Finance, National Taiwan University - Department of Finance and Federal Reserve Bank of Richmond
Downloads 53 (371,978)

Abstract:

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investor network; information diffusion; price delay; asset prices

4.

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