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Pricing American options when the underlying asset follows GARCH processes
Stentoft, Lars - In: Journal of empirical finance 12 (2005) 4, pp. 576-611
Persistent link: https://www.econbiz.de/10003144806
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Price discovery in the US stock and stock options markets : a portfolio approach
Holowczak, Richard; Simaan, Yusif E.; Wu, Liuren - In: Review of derivatives research 9 (2006) 1, pp. 37-65
Persistent link: https://www.econbiz.de/10003441188
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Simulation-based pricing of convertible bonds
Ammann, Manuel; Kind, Axel; Wilde, Christian - In: Journal of empirical finance 15 (2008) 2, pp. 310-331
Persistent link: https://www.econbiz.de/10003699167
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Tax liens: a novel application of asset pricing theory
Jarrow, Robert A.; Tyagi, Vikrant - In: Review of derivatives research 10 (2007) 2, pp. 181-204
Persistent link: https://www.econbiz.de/10003705869
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On the information in the interest rate term structure and option prices
Jong, Frank de; Driessen, Joost; Pelsser, Antoon André Jean - In: Review of derivatives research 7 (2004) 2, pp. 99-127
Persistent link: https://www.econbiz.de/10003153989
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Pricing the risks of default
Madan, Dilip B.; Unal, Haluk - In: Review of derivatives research 2 (1998) 2/3, pp. 121-160
Persistent link: https://www.econbiz.de/10001497930
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Drift estimation of generalized security price processes from high frequency derivative prices
Pandher, Gurupdesh S. - In: Review of derivatives research 4 (2000) 3, pp. 263-284
Persistent link: https://www.econbiz.de/10001596721
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Dividend forecast biases in index option valuation
Chance, Don M.; Kumar, Raman; Rich, Don R. - In: Review of derivatives research 4 (2000) 3, pp. 285-303
Persistent link: https://www.econbiz.de/10001596722
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A generalized partially linear model of asymmetric volatility
Wu, Guojun; Xiao, Zhijie - In: Journal of empirical finance 9 (2002) 3, pp. 287-319
Persistent link: https://www.econbiz.de/10001705438
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On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
Moreno, Manuel; Navas, Javier F. - In: Review of derivatives research 6 (2003) 2, pp. 107-128
Persistent link: https://www.econbiz.de/10001857659