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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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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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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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Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Lin, Shih-kuei; Wang, Shin-yun; Chen, Carl R.; Xu, Lian-Wen - In: The North American journal of economics and finance : a … 42 (2017), pp. 359-373
Persistent link: https://www.econbiz.de/10011938138
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Term structure dynamics in a monetary economy with learning
Ono, Sadayuki - In: The North American journal of economics and finance : a … 48 (2019), pp. 730-745
Persistent link: https://www.econbiz.de/10012120324
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Pricing options on stocks denominated in different currencies : theory and illustrations
Ng, Andrew C. Y.; Li, Johnny Siu-hang; Chan, Wai-Sum - In: The North American journal of economics and finance : a … 26 (2013), pp. 339-354
Persistent link: https://www.econbiz.de/10010365762
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The non-uniform pricing effect of employee stock options using quantile regression
Kuo, Chii-shyan; Yu, Shihti - In: The North American journal of economics and finance : a … 26 (2013), pp. 400-415
Persistent link: https://www.econbiz.de/10010367576
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Arbitrage-free implied volatility surfaces for options on single stock futures
Kotzé, Antonie; Labuschagne, Coenraad C. A.; Nair, … - In: The North American journal of economics and finance : a … 26 (2013), pp. 380-399
Persistent link: https://www.econbiz.de/10010367577
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State-dependent jump risks for American gold futures option pricing
Lian, Yu-Min; Liao, Szu-Lang; Chen, Jun-Home - In: The North American journal of economics and finance : a … 33 (2015), pp. 115-133
Persistent link: https://www.econbiz.de/10011534881
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An analysis of implied volatility jump dynamics : novel functional data representation in crude oil markets
Kearney, Fearghal; Murphy, Finbarr; Cummins, Mark - In: The North American journal of economics and finance : a … 33 (2015), pp. 199-216
Persistent link: https://www.econbiz.de/10011535207