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Why do we smile? : On the determinants of the implied volatility function
Peña Sánchez de Rivera, Juan Ignacio; Rubio, Gonzalo; … - In: Journal of banking & finance 23 (1999) 8, pp. 1151-1179
Persistent link: https://www.econbiz.de/10001391604
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A continuous-time model to determine the intervention policy for PBGC
Kalra, Raman - In: Journal of banking & finance 21 (1997) 8, pp. 1159-1177
Persistent link: https://www.econbiz.de/10001226766
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Pricing black-scholes options with correlated credit risk
Klein, Peter - In: Journal of banking & finance 20 (1996) 7, pp. 1211-1229
Persistent link: https://www.econbiz.de/10001204896
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Stochastic volatility, movements in short term interest rates, and bond option values
Vetzal, Kenneth R. - In: Journal of banking & finance 21 (1997) 2, pp. 169-196
Persistent link: https://www.econbiz.de/10001213042
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The impact of default risk on the prices of options and other derivative securities
Hull, John - In: Journal of banking & finance 19 (1995) 2, pp. 299-322
Persistent link: https://www.econbiz.de/10001180777
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Face value convergence for stochastic bond price processes : a note on Merton's partial equilibrium option pricing model
Nawalkha, Sanjay K. - In: Journal of banking & finance 19 (1995) 1, pp. 153-164
Persistent link: https://www.econbiz.de/10001181869
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A note on an equilibrium debt option pricing model in discrete time
Mathis, Roswell E. - In: Journal of banking & finance 19 (1995) 7, pp. 1305-1307
Persistent link: https://www.econbiz.de/10001189240
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The duration vector : a continuous-time extension to default-free interest rate contingent claims
Nawalkha, Sanjay K. - In: Journal of banking & finance 19 (1995) 8, pp. 1359-1378
Persistent link: https://www.econbiz.de/10001191466
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How important is the correlation between returns and volatility in a stochastic volatility model? : Empirical evidence from pricing and hedging in the S&P 500 index options market
Nandi, Saikat - In: Journal of banking & finance 22 (1998) 5, pp. 589-610
Persistent link: https://www.econbiz.de/10001243308
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A path-dependent approach to security valuation with application to interest rate contingent claims
Breeden, Douglas T. - In: Journal of banking & finance 21 (1997) 4, pp. 541-562
Persistent link: https://www.econbiz.de/10001215990