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isPartOf:"The journal of fixed income"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Optionspreistheorie"
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Optionspreistheorie
Interest rate derivative
54
Zinsderivat
54
Theorie
28
Theory
28
Yield curve
27
Zinsstruktur
27
Option pricing theory
15
USA
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1982-1990
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Chen, Son-nan
3
Wu, Ting-pin
3
Beliaeva, Natalia A.
1
Ben-Ameur, Hatem
1
Chang, Jui-jane
1
Chen, Ren-Raw
1
Chowdhury, Muinul
1
Clewlow, Les
1
Dharan, Venkat G.
1
Jensen, Malene Shin
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Karoui, Lotfi
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1
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1
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1
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1
Stutzer, Michael J.
1
Svenstrup, Mikkel
1
Turnbull, Stuart M.
1
Uhrig, Marliese
1
Wang, Chun-chao
1
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The journal of fixed income
The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of computational finance
18
International journal of theoretical and applied finance
17
Review of derivatives research
10
Applied mathematical finance
9
Finance and stochastics
9
International journal of financial engineering
9
Journal of banking & finance
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
6
Advances in futures and options research : a research annual
5
Gabler Edition Wissenschaft
5
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
5
Quantitative finance
5
The journal of futures markets
5
European journal of operational research : EJOR
4
Journal of mathematical finance
4
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
4
Risks : open access journal
4
Série de trabalhos para discussão
4
Advances in Pacific Basin financial markets
3
Applied economics
3
Global finance journal
3
Journal of financial economics
3
SSE EFI working paper series in economics and finance
3
The journal of finance : the journal of the American Finance Association
3
The review of financial studies
3
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
3
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
Berichte des Fraunhofer ITWM
2
Bonn Econ Discussion Papers / BGSE
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Bonn Econ Discussion Papers / Bonn Graduate School of Economics, Department of Economics, University of Bonn
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Europäische Hochschulschriften / 5
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Interest rate, term structure, and valuation modeling
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International Journal of Financial Markets and Derivatives : IJFMD
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1
Pricing interest-rate derivatives with piecewise multilinear interpolations and transition parameters
Ben-Ameur, Hatem
;
Karoui, Lotfi
;
Mnif, Walid
- In:
The journal of derivatives : the official publication …
22
(
2014
)
2
,
pp. 82-109
Persistent link: https://www.econbiz.de/10011311415
Saved in:
2
Barrier caps and floors under the LIBOR market model with double exponential jumps
Chang, Jui-jane
;
Chen, Son-nan
;
Wang, Chun-chao
;
Wu, …
- In:
The journal of derivatives : the official publication …
21
(
2014
)
4
,
pp. 7-30
Persistent link: https://www.econbiz.de/10010387683
Saved in:
3
Valuation of CMS spread options with nonzero strike rates in the LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 41-55
Persistent link: https://www.econbiz.de/10009316812
Saved in:
4
Valuation of interest rate spread options in a multifactor LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
3
,
pp. 38-52
Persistent link: https://www.econbiz.de/10003852622
Saved in:
5
Pricing American interest rate options under the jump-extended Vasicek model
Beliaeva, Natalia A.
;
Nawalkha, Sanjay K.
;
Soto, Gloria M.
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
1
,
pp. 29-43
Persistent link: https://www.econbiz.de/10003771447
Saved in:
6
Efficient control variates and strategies for Bermudan swaptions in a LIBOR market model
Jensen, Malene Shin
;
Svenstrup, Mikkel
- In:
The journal of derivatives : the official publication …
12
(
2004
)
4
,
pp. 20-33
Persistent link: https://www.econbiz.de/10003010725
Saved in:
7
A simple non-parametric approach to bond futures option pricing
Stutzer, Michael J.
;
Chowdhury, Muinul
- In:
The journal of fixed income
8
(
1999
)
4
,
pp. 67-76
Persistent link: https://www.econbiz.de/10001432409
Saved in:
8
A Markov chain model for valuing credit risk derivatives
Kijima, Masaaki
- In:
The journal of derivatives : the official publication …
6
(
1998
)
1
,
pp. 97-108
Persistent link: https://www.econbiz.de/10001248808
Saved in:
9
Monte Carlo valuation of interest rate derivatives under stochastic volatility
Clewlow, Les
- In:
The journal of fixed income
7
(
1997
)
3
,
pp. 35-45
Persistent link: https://www.econbiz.de/10001233944
Saved in:
10
Pricing path-dependent interest rate contingent claims using a lattice
Dharan, Venkat G.
- In:
The journal of fixed income
6
(
1997
)
4
,
pp. 40-49
Persistent link: https://www.econbiz.de/10001218360
Saved in:
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