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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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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
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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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Explicit approximate analytic formulas for timer option pricing with stochastic interest rates
Ma, Jingtang; Deng, Dongya; Lai, Yongzeng - In: The North American journal of economics and finance : a … 34 (2015), pp. 1-21
Persistent link: https://www.econbiz.de/10011539653
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Consistent pricing of VIX options with the Hawkes jump-diffusion model
Jing, Bo; Li, Shenghong; Ma, Yong - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012821987
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Valuation of options on the maximum of two prices with default risk under GARCH models
Wang, Xingchun - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012822187
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Impact of volatility jumps in a mean-reverting model : derivative pricing and empirical evidence
Chiu, Hsin-Yu; Chen, Ting-Fu - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012656907
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Joint dynamic modeling and option pricing in incomplete derivative-security market
Lian, Yu-Min; Chen, Jun-Home - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012658787
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Valuation of piecewise linear barrier options
Lee, Hangsuck; Ha, Hongjun; Lee, Minha - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10013186470
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A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model
Li, Shaoyu; Zhang, Yuanyuan; Zhu, Chunhui - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10013188207