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Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model
Tang, Kin Boon; Zheng, Wen-Jie; Lin, Chao-Yang; Lin, … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012821303
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Efficient control variate methods with applications to exotic options pricing under subordinated Brownian motion models
Zhang, Ling; Lai, Yongzeng; Zhang, Shuhua; Li, Lin - In: The North American journal of economics and finance : a … 47 (2019), pp. 602-621
Persistent link: https://www.econbiz.de/10012120139
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Stochastic interest rates under rational inattention
Zhang, Yuhua; Niu, Yingjie; Wu, Ting - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012664614
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Term structure estimation in the presence of autocorrelation
Juneja, Januj - In: The North American journal of economics and finance : a … 28 (2014), pp. 119-129
Persistent link: https://www.econbiz.de/10010461168
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On the exercise of American quanto options
Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013538939
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Option pricing under truncated Gram-Charlier expansion
Lin, Shin-Hung; Huang, Hung-Hsi; Li, Sheng-Han - In: The North American journal of economics and finance : a … 32 (2015), pp. 77-97
Persistent link: https://www.econbiz.de/10011514435
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Comparative empirical study of binomial call-option pricing methods using S&P 500 index data
Shvimer, Yossi; Herbon, Avi - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012659592
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The effect of market sentiment and information asymmetry on option pricing
Zghal, Imen; Ben Hamad, Salah; Eleuch, Hichem; Nobanee, … - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012664661
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Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach
Cortés, Lina M.; Mora-Valencia, Andrés; Perote, Javier - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012666975
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Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends
Ma, Jingtang; Fan, Jiacheng - In: The North American journal of economics and finance : a … 37 (2016), pp. 128-147
Persistent link: https://www.econbiz.de/10011672905