研究成果

第 1 到 90 筆結果，共 90 筆。

公開日期標題作者來源出版物scopusWOS全文
12022Volatility-of-Volatility Risk in Asset PricingChen T.-F; Chordia T; SAN-LIN CHUNG ; Lin J.-C.Review of Asset Pricing Studies56
22022Revisiting the valuation of deposit insuranceChang C.-C; SAN-LIN CHUNG ; Ho R.-J; Hsiao Y.-J.Journal of Futures Markets
32019Semistatic hedging and pricing American floating strike lookback optionsChung S.-L. ; Huang Y.-T.; Shih P.-T. ; JR-YAN WANG Journal of Futures Markets11
42019勞保年金給付方式的新思維Chen, F.-L.; SAN-LIN CHUNG 臺大管理論叢
52018A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump-diffusion-ruin processChung S.-L. ; JR-YAN WANG Journal of Futures Markets00
62018Investor network: Implications for information diffusion and asset pricesChung S.-L. ; Liu W.; Liu W.-R.; CHUN-KAI TSENG Pacific Basin Finance Journal119
72018勞保年金改革建議：借鏡美國社會安全基金的老年給付張森林 ; 陳芬苓臺灣勞工季刊
82017Pricing Stock Options with State-Dependent Jump-to-DefaultSan-Lin Chung ; Chien-Ling Lo; Pai-Ta Shih 期貨與選擇權學刊
92017Review and Prospects of Taiwan Derivatives Research: Empirical Studies and ApplicationsLin B.-H.; Chung S.-L. ; Yeh S.-K.NTU Management Review20
102017槓桿型與反向型ETF追蹤績效分析與模擬張森林 ; 徐宇薇期貨與選擇權學刊
112017台灣衍生性金融商品市場實證與運用研究文獻回顧與展望林丙輝; 張森林 ; 葉仕國臺大管理論叢
122016Review and prospects of Taiwan derivatives research: pricing, hedging, and arbitrageLin B.-H.; Chung S.-L. ; Yeh S.-K.NTU Management Review20
132016Option-implied equity risk and the cross section of stock returnsChen T.-F.; Chung S.-L. ; Tsai W.-C.Financial Analysts Journal66
142015The impacts of individual and institutional trading on futures returns and volatility: Evidence from emerging index futures marketsKuo W.-H.; Chung S.-L. ; Chang C.-Y.Journal of Futures Markets2019
152015Counterparty credit risk in the municipal bond marketChung S.-L. ; Kao C.-W.; Wu C.; Yeh C.-Y.Journal of Fixed Income40
162014The impact of derivatives hedging on the stock market: Evidence from Taiwan's covered warrants marketChung S.-L. ; Liu W.-R.; Tsai W.-C.Journal of Banking and Finance76
172014The Never-Early-Exercise Condition and Analytical Price Upper Bounds of American Power Call Options繆維中; 張森林 ; 李永新期貨與選擇權學刊
182013Actuarial applications of the linear hazard transform in mortality immunizationTsai C.C.L.; Chung S.-L. Insurance: Mathematics and Economics1515
192013Static hedging and pricing American knock-in put optionsChung S.-L. ; Shih P.-T. ; Tsai W.-C.Journal of Banking and Finance1415
202013Static hedging and pricing american knock-out optionsChung S-L. ; Shih P.-T. ; Tsai W-C.Journal of Derivatives66
212012When does investor sentiment predict stock returns?Chung S.-L. ; Hung C.-H.; Yeh C.-Y.Journal of Empirical Finance144132
222011The impact of liquidity on option pricesChou R.K.; Chung S.-L. ; Hsiao Y.-J.; Wang Y.-H. Journal of Futures Markets2019
232011Applying Control Variate Technique to the Monte Carlo Simulation of Option Prices張森林 ; 屈誠銘; 李漢興; 葉宗穎期貨與選擇權學刊
242011Predicting Market Regimes and Stock Returns Using Investor SentimentSAN-LIN CHUNG ; Chung-Ying Yeh證券市場發展季刊00
252011The information content of the S and P 500 index and VIX options on the dynamics of the S and P 500 indexChung S.-L. ; Tsai W.-C.; Wang Y.-H. ; Weng P.-S.Journal of Futures Markets3636
262011On the rate of convergence of binomial GreeksChung S.-L. ; Hung W.; Lee H.-H.; Shih P.-T. Journal of Futures Markets34
272011The diversification effects of volatility-related assetsChen H.-C.; Chung S.-L. ; Ho K.-Y.Journal of Banking and Finance3331
282010Catastrophe risk management with counterparty risk using alternative instrumentsYang-Che Wu; SAN-LIN CHUNG Insurance: Mathematics and Economics2320
292010Efficient quadrature and node positioning for exotic option valuationChung S.-L. ; Ko K.; Shackleton M.B.; Yeh C.-Y.Journal of Futures Markets76
302010財金數量方法張森林 ; 石百達 
312010A modified static hedging method for continuous barrier optionsChung S.-L. ; Shih P.-T. ; Tsai W.-C.Journal of Futures Markets1012
322010Tight bounds on American option pricesChung S.-L. ; Hung M.-W.; JR-YAN WANG ; MAO-WEI HUNG Journal of Banking and Finance2015
332009臺股指數期貨係證金估計模型及結構比之研究張森林 ; 石百達 ; 李存修 ; 施宗佐期貨與選擇權學刊
342009Static hedging and pricing American optionsChung S.-L. ; Shih P.-T. Journal of Banking and Finance3231
352008Binomial Option Pricing Models with Monotonic and Smooth Convergence PropertySan-Lin Chung ; Pai-Ta Shih ; Chung-Ying Yeh期貨與選擇權學刊
362008衍生性金融商品的資訊內涵整合型研究－總計畫暨子計畫一：衍生性商品市場實證的研究方法及模型問題探討　（新制多年期第2年）張森林 
372008台灣地區勞工退休金制度的性別分析陳芬苓; 張森林 人文及社會科學集刊 
382008Ranking Taiwanese management journals: A case studyKao C.; HSIOU-WEI LIN ; SAN-LIN CHUNG ; Tsai W.-C.; Chiou J.-S.; Chen Y.-L.; Chen L.-H.; Fang S.-C.; Pao H.-L.Scientometrics1313
392008Bounds and Prices of Currency Cross-Rate OptionsChung, San-Lin ; SAN-LIN CHUNG ; YAW-HUEI WANG Journal of Banking and Finance
402007衍生性金融商品的資訊內涵整合型研究－總計畫暨子計畫一：衍生性商品市場實證的研究方法及模型問題探討　（新制多年期第1年）張森林 
412007Generalised Geske-Johnson interpolation of option pricesShackleton, Mark B.; SAN-LIN CHUNG ; SAN-LIN CHUNGGeneralised Geske-Johnson interpolation of option prices
422007房貸基礎證券評價與風險值---風險中立訂價法與均衡訂價法之比較廖咸興 ; 張森林 ; 陳仁遶; 楊太樂; 廖堃宇財務金融學刊 
432007Richardson extrapolation techniques for the pricing of American-style optionsChang C.-C.; Chung S.-L. ; Stapleton R.C.Journal of Futures Markets4240
442007Generalized cox-ross-rubinstein binomial modelsChung S.-L. ; Shih P.-T. Management Science2324
452006附加年金制的遠期契約價值及政策意涵分析陳芬苓; 張森林 證券市場發展季刊 
462006Option pricing for the transformed-binomial classC?mara A.; Chung S.-L. Journal of Futures Markets56
472006Loan guarantee portfolios and joint loan guarantees with stochastic interest ratesChang C.-C.; Chung S.-L. ; Yu M.-T.Quarterly Review of Economics and Finance90
482006台灣各大學院校在國際財金期刊之著作表現洪茂蔚 ; 張森林 證券市場發展季刊
492006台灣各大學院校在國際財金期刊之著作表現張森林 ; 洪茂蔚 證券市場發展季刊
502006Generalized Analytical Upper Bounds for American Option PricesChung, S. L.; Chung S.-L. Journal of Financial and Quantitative Analysis119
512005Option Pricing for the Transformed-Binomial ClassCamara, A.; SAN-LIN CHUNG The 2005 FMA Annual Meeting 
522005On the use and improvement of Hull and White's control variate techniqueChung S.-L. ; Shackleton M.B.Applied Financial Economics10
532005Pricing quanto equity swaps in a stochastic interest rate economyChung S.-L. ; Yang H.-F.Applied Mathematical Finance00
542005On the errors and comparison of vega estimation methodsChung S.-L. ; Shackleton M.Journal of Futures Markets23
552005勞工退休金條例草案的財務分析－實質選擇權應用(3/3)張森林 
562004Toward option values of near machine precision using Gaussian QuadratureSAN-LIN CHUNG ; M. Shackleton12th conference on the Theories and Practices of Securities and Financial Markets 
572004Enhancing the Computational Efficiency for the Monte Carlo Simulation Approach張傳章; 張森林 ; 林忠機臺灣管理學刊 
582004CB Asset Swaps and CB Options: Structure and PricingChung, S. L.; Lai, H. W.; Lin, S. Y.; SAN-LIN CHUNG 經濟論文,32 00
592004勞工退休金條例草案的財務分析－實質選擇權應用(2/3)張森林 
602004Pricing options with American-style average reset featuresChang C.-C.; Chung S.-L. ; Shackleton M.B.Quantitative Finance33
612003Efficient Quadratic Approximation of Floating Strike Asian Option ValuesSAN-LIN CHUNG ; M. Shackleton; R. WojakowskiFinance 
622003A Numerically Efficient Valuation Method for American Currency Options with Stochastic Interest Rates張森林 臺灣管理學刊 
632003Toward Option Values of Near Machine Precision Using Gaussian QuadratureChung, San-Lin ; shackleton, M.B.
642003The simplest American and Real Option approximations: Geske-Johnson interpolation in maturity and yieldSAN-LIN CHUNG ; Shackleton, MarkApplied Economics Letters44
652003Multivariate Binomial Approximations to the Valuation of Exotic Options張森林 台灣金融財務季刊00
662002蒙地卡羅模擬法在美式選擇權評價之應用張森林 ; 何振文中國財務學刊 
672002Richardson Extrapolation Techniques for the pricing of American-Style optionsSAN-LIN CHUNG The 2002 European Finance Association Annual Meeting 
682002Pricing Quanto Equity Swaps in Stochastic Interest Rate EconomySAN-LIN CHUNG The 15th Annual Australasian Finance and Banking Conference 
692002Pricing American options on foreign assets in a stochastic interest rate economyChung S.-L. Journal of Financial and Quantitative Analysis85
702002Valuation and hedging of differential swapsChang C.-C.; Chung S.-L. ; Yu M.-T.Journal of Futures Markets44
712002Pricing Asian-style interest rate swapsChang C.-C.; Chung S.-L. Journal of Derivatives30
722002The Accuracy and Efficiency of Alternative Option Pricing Approaches Relative to a Log-Transformed Trinomial ModelChen H.-C.; Chen D.M.; Chung S.-L. Journal of Futures Markets00
732002The Binomial Black - Scholes Model and the GreeksChung S.-L. ; SAN-LIN CHUNG Journal of Futures Markets1011
742002Review of synthesis of no-arbitrage Gaussian term structure modelsChung S.-L. Canadian Journal of Administrative Sciences0
752002Option pricing in a multi-asset, complete market economyChen R.-R.; Chung S.-L. ; Yang T.T.Journal of Financial and Quantitative Analysis2118
762001Valuation and Hedging of American-Style Lookback and Barrier OptionsChang, C. C.; SAN-LIN CHUNG Advances in Investment Analysis and Portfolio Management 
772001Efficient Quadratic Approximation of Floating Strike Asian Option ValuesSAN-LIN CHUNG ; M. Shackleton; R. WojakowskiThe 2001 European Financial Management Association Annual Meeting 
782001Monte Carlo Estimations of GreeksSAN-LIN CHUNG The 8th Annual Conference of the Multinational Finance Society 
792000隨機波動性下障礙選擇權之評價分析張森林 ; 張傳章; 許博翔中國財務學刊00
802000正常提撥成本之估計-針對薪資相關、雇主提撥之確定給付退休金計劃陳炤良; 俞明德; 張傳章; 張森林 管理學報 
812000American option valuation under stochastic interest ratesChung S.-L. Review of Derivatives Research140
821999股酬交換之定價：評論張森林 中國財務學刊 
831999Pricing and Hedging American-Style Moving-Average Reset WarrantsChang C. C.; SAN-LIN CHUNG 8th Conference on the Theories and Practices of Security and Financial Markets 
841999A Unified Approach for No-arbitrage Gaussian Term Structure ModelsSAN-LIN CHUNG 1999 European Financial Management Association Annual Meeting 
851999A Numerically Efficient Valuation Method for American Currency Options with Stochastic Interest RatesSAN-LIN CHUNG The 7th Conference on Pacific Basin Finance, Economics and Accounting 
861999Valuation and Hedging of American-Style Lookback and Barrier OptionsChang, C. C.; SAN-LIN CHUNG The 7th Conference on Pacific Basin Finance, Economics and Accounting 
871998Multivariate Binomial Method for the Valuation of Exotic OptionsSAN-LIN CHUNG 7th conference on the Theories and Practices of Securities and Financial Markets
881998Pricing Differential Swaps with Foreign Currency Denominate PrincipalChang, C. C.; SAN-LIN CHUNG ; M. T. Yu,The 1998 FMA Annual Meeting 
891997American Option Valuation under stochastic Interest RatesSAN-LIN CHUNG the 24th European Finance Association Annual Conference 
901996No-arbitrage Term Structure ModelsSAN-LIN CHUNG The Doctoral Tutorial of 23rd European Finance Association Annual Conference