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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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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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The effect of default and conversion options on bond duration
Horchani, Sana - In: The journal of fixed income 25 (2016) 3, pp. 26-35
Persistent link: https://www.econbiz.de/10011429757
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The performance of option-based default risk models on commercial mortgages : an empirical investigation
Liu, Yi-kang; Jabbour, George M.; Green, Richard K. - In: The journal of fixed income 17 (2007) 2, pp. 63-76
Persistent link: https://www.econbiz.de/10003628229
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Implied remaining variance in derivative pricing
Carr, Peter; Sun, Jian - In: The journal of fixed income 23 (2014) 4, pp. 19-32
Persistent link: https://www.econbiz.de/10010388877
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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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Does implied volatility imply volatility - in bonds?
Bertonazzi, Eric P.; Maloney, Michael T. - In: The journal of fixed income 11 (2001) 3, pp. 54-60
Persistent link: https://www.econbiz.de/10001706066
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An empirical study of credit default swaps
Skinner, Frank S.; Díaz Pérez, Antonio - In: The journal of fixed income 13 (2003) 1, pp. 28-38
Persistent link: https://www.econbiz.de/10001782459
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A two-factor term structure model under GARCH volatility
Heston, Steven L.; Nandi, Saikat - In: The journal of fixed income 13 (2003) 1, pp. 87-95
Persistent link: https://www.econbiz.de/10001782469
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Estimating the term structure of volatility and fixed-income derivative pricing
Gonçalves, Franklin de O. - In: The journal of fixed income 6 (1996) 1, pp. 32-39
Persistent link: https://www.econbiz.de/10001205427