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within Statistics for Business, Management, Economics, Finance, Insurance Remove this filter Ren-**ong Chen Remove this filter Reference Work Entry Remove this filter

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    Analytical Bounds for Treasury Bond Futures Prices

    The pricing of delivery options, particularly timing options, in Treasury bond futures is prohibitively expensive. Recursive use of the lattice model is unavoidable for valuing such options, as Boyle (1989) demon...

    Ren-Raw Chen, Shih-Kuo Yeh in Handbook of Financial Econometrics and Statistics (2015)

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    Nonparametric Bounds for European Option Prices

    There is much research whose efforts have been devoted to discovering the distributional defects in the Black-Scholes model, which are known to cause severe biases. However, with a free specification for the d...

    Hsuan-Chu Lin, Ren-Raw Chen, Oded Palmon in Handbook of Financial Econometrics and Sta… (2015)