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A jump-diffusion approach to modelling vulnerable option pricing
Xu, Weidong; Xu, Weijun; Li, Hongyi; Xiao, Weilin - In: Finance research letters 9 (2012) 1, pp. 48-56
Persistent link: https://www.econbiz.de/10009575333
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Volatility discovery : can the CDS market beat the equity options market?
Forte, Santiago; Lovreta, Lidija - In: Finance research letters 28 (2019), pp. 107-111
Persistent link: https://www.econbiz.de/10012388022
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How fundamental is the one-period trinomial model to European option pricing bounds : a new methodological approach
Braouezec, Yann - In: Finance research letters 21 (2017), pp. 92-99
Persistent link: https://www.econbiz.de/10011807511
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Pricing power exchange options with correlated jump risk
Wang, Xingchun - In: Finance research letters 19 (2016), pp. 90-97
Persistent link: https://www.econbiz.de/10011657466
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Pricing vulnerable options with stochastic default barriers
Wang, Xingchun - In: Finance research letters 19 (2016), pp. 305-313
Persistent link: https://www.econbiz.de/10011657733
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Valuation of quanto options in a Markovian regime-switching market : a Markov-modulated Gaussian HJM model
Chen, Son-nan; Chiang, Mi-hsiu; Hsu, Pao-peng; Li, Chang-yi - In: Finance research letters 11 (2014) 2, pp. 161-172
Persistent link: https://www.econbiz.de/10010441191
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Information content and market liquidity in the fixed income market : evidence from the swaption market
Hattori, Takahiro - In: Finance research letters 45 (2022), pp. 1-5
Persistent link: https://www.econbiz.de/10014574914
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Exotic options pricing under special Lévy process models : a biased control variate method approach
Jia, Jiayi; Lai, Yongzeng; Li, Lin; Tan, Vinna - In: Finance research letters 34 (2020), pp. 1-4
Persistent link: https://www.econbiz.de/10012436769
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Pricing arithmetic Asian options under jump diffusion CIR processes
Park, Jong Jun; Jang, Hyun Jin; Jang, Jiwook - In: Finance research letters 34 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012436988
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Variance risk premiums and aging firms
Neururer, Thaddeus - In: Finance research letters 58 (2023) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10014581299