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Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho - In: Journal of econometrics 187 (2015) 2, pp. 512-520
Persistent link: https://www.econbiz.de/10011499753
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Pricing foreign currency and cross-currency options under GARCH
Duan, Jin-Chuan; Wei, Jason - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 51-68
Persistent link: https://www.econbiz.de/10001432469
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Valuing differential swaps
Wei, Jason - In: The journal of derivatives : the official publication … 1 (1994) 3, pp. 64-76
Persistent link: https://www.econbiz.de/10001219481
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Valuation of discrete barrier options by interpolations
Wei, Jason - In: The journal of derivatives : the official publication … 6 (1998) 1, pp. 51-73
Persistent link: https://www.econbiz.de/10001248809
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Another look at the Ho-Lee bond option pricing model
Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: The journal of derivatives : the official publication … 25 (2018) 4, pp. 48-53
Persistent link: https://www.econbiz.de/10011965408