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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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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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Valuing spread options with counterparty risk and jump risk
Li, Zelei; Wang, Xingchun - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012665103
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The rise and fall of S&P500 variance futures
Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
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Explicit expressions to counterparty credit exposures for Forward and European Option
Li, Shuang; Peng, Cheng; Bao, Ying; Zhao, Yanlong - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012656950
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Valuation of double trigger catastrophe options with counterparty risk
Jiang, I-ming; Yang, Sheng-Yung; Liu, Yu-hong; Wang, Alan T. - In: The North American journal of economics and finance : a … 25 (2013), pp. 226-242
Persistent link: https://www.econbiz.de/10009779275
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Pricing of vulnerable options with early counterparty credit risk
Jeon, Junkee; Kim, Geonwoo - In: The North American journal of economics and finance : a … 47 (2019), pp. 645-656
Persistent link: https://www.econbiz.de/10012120148
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Pricing vulnerable options with stochastic liquidity risk
Wang, Xingchun - In: The North American journal of economics and finance : a … 60 (2022), pp. 1-10
Persistent link: https://www.econbiz.de/10013449096
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Pricing basket spread options with default risk under Heston-Nandi GARCH models
Wang, Xingchun; Zhang, Han - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013413519
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Pricing of vulnerable exchange options with early counterparty credit risk
Kim, Donghyun; Kim, Geonwoo; Yoon, Ji-Hun - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013413573