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A pricing model for American options with stochastic interest rates

Menkveld, Albert J.; Vorst, Ton - 1998

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Pricing stock options under stochastic volatility and stochastic interest rates with efficient method of moments estimation

Jiang, George J.; Sluis, Pieter J. van der - 1998

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Option pricing and foreign investment under political risk

Cherian, Joseph; Perotti, Enrico - 1999

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Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong

Peeters, Bas; Dert, Cees; Lucas, André - 2003

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An empirical comparison of default swap pricing models

Houweling, Patrick; Vorst, Ton - 2001

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Pricing American interest rate claims with humped volatility models

Moraleda Novo, Juan Manuel; Vorst, Ton - 1996

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Pricing and hedging guaranteed annuity options via static option replication

Pelsser, Antoon André Jean - 2002

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Pricing double barrier options : an analytical approach

Pelsser, Antoon André Jean - 1997

Double barrier options have become popular instruments in derivative markets. Several papers_new have already analyseddouble knock-out call and put options using different methods. In a recent paper, Geman and Yor (1996) deriveexpressions for the Laplace transform of the double barrrier option...

Persistent link: https://www.econbiz.de/10010232861

A real option perspective on valuing gas fields

Zhao, Lin; Wijnbergen, Sweder van - 2013

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Volatility smirk as an externality of agency conflict and growing debt

Jaskowski, Marcin; McAleer, Michael - 2013

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