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Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models
Dong, Bing
;
Xu, Wei
;
Kwok, Yue-Kuen
- In:
Quantitative finance
19
(
2019
)
10
,
pp. 1741-1761
Persistent link: https://www.econbiz.de/10012194821
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Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree
Ma, Changfu
;
Xu, Wei
;
Yuan, George
- In:
Quantitative finance
20
(
2020
)
12
,
pp. 2037-2053
Persistent link: https://www.econbiz.de/10012313551
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