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~person:"Lin, Shih-kuei"
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Interest rate derivative
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Option pricing theory
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Optionspreistheorie
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Swap
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Zinsderivat
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Zinsstruktur
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Least Squares Monte-Carlo
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Optionsgeschäft
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Range Accrual Interest Rate Swap (RAIRS)
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Range accrual
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Stochastic model in continuous time
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Lin, Shih-kuei
Yang, Zhaojun
18
Bahaj, Saleem
16
Longstaff, Francis A.
16
Reis, Ricardo
16
Fabozzi, Frank J.
15
Tang, Dragon Yongjun
15
Aizenman, Joshua
14
Akram, Tanweer
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Schwartz, Eduardo S.
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Joshi, Mark S.
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Mamun, Khawaja Abdullah al
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Swishchuk, Anatoliy V.
12
Goldberg, Linda S.
11
Carr, Peter
10
Duffie, Darrell
10
SenGupta, Indranil
10
Trolle, Anders B.
10
Wang, Sarah Qian
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Zhang, Hai
10
Brigo, Damiano
9
Burgess, Nicholas
9
Fang, Victor
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Filipović, Damir
9
Jarrow, Robert A.
9
Pelsser, Antoon André Jean
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Subrahmanyam, Marti G.
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Syrstad, Olav
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Azad, A. S. M. Sohel
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Batten, Jonathan A.
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Bordo, Michael D.
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French, Jack
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Jinjarak, Yothin
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Kolb, Robert W.
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Pietersz, Raoul
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Ranaldo, Angelo
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Zheng, Wendong
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Allen, William A.
7
Arnold, Vincient
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The North American journal of economics and finance : a journal of financial economics studies
2
International review of financial analysis
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ECONIS (ZBW)
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Valuation of callable range accrual linked to CMS Spread under generalized swap market model
He, Jie-Cao
;
Hsieh, Chang-Chieh
;
Huang, Zi-Wei
;
Lin, …
- In:
International review of financial analysis
90
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014468776
Saved in:
2
Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model
Tang, Kin Boon
;
Zheng, Wen-Jie
;
Lin, Chao-Yang
;
Lin, …
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012821303
Saved in:
3
Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Lin, Shih-kuei
;
Wang, Shin-yun
;
Chen, Carl R.
;
Xu, Lian-Wen
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 359-373
Persistent link: https://www.econbiz.de/10011938138
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