Estimation of the local volatility of discount bonds using market quotes for coupon-bond options
Year of publication: |
2009
|
---|---|
Authors: | Fujiwara, Hajime ; Kijima, Masaaki ; Nishide, Katsumasa |
Published in: |
Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering. - Singapore : World Scientific Pub Co Inc, ISBN 981-4273-46-5. - 2009, p. 49-69
|
Subject: | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
-
Modeling and valuation of energy structures : analylsis., econometrics, and numerics
Mahoney, Daniel, (2016)
-
Commodity spread option pricing and the economic fundamentals of crack spreads
Kolpakov, Ilya, (2014)
-
Impacts of derivative markets on spot market volatility and their persistence
Fong, Lik, (2015)
- More ...
-
Pricing of path-dependent American options by Monte Carlo simulation
Fujiwara, Hajime, (2007)
-
Pricing of path-dependent American options by Monte Carlo simulation
Fujiwara, Hajime, (2007)
-
Pricing of path-dependent American options by Monte Carlo simulation
Fujiwara, Hajime, (2007)
- More ...