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Pricing American interest rate options under the jump-extended Vasicek model
Beliaeva, Natalia A.; Nawalkha, Sanjay K.; Soto, Gloria M. - In: The journal of derivatives : the official publication … 16 (2008/09) 1, pp. 29-43
Persistent link: https://www.econbiz.de/10003771447
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Pricing and hedging mandatory convertible bonds
Ammann, Manuel; Seiz, Ralf - In: The journal of derivatives : the official publication … 13 (2006) 3, pp. 30-46
Persistent link: https://www.econbiz.de/10003321080
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Cross-sectional analysis of risk-neutral skewness
Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 38-52
Persistent link: https://www.econbiz.de/10003862759
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The normal inverse gaussian distribution and the pricing of derivatives
Eriksson, Anders; Ghysels, Eric; Wang, Fangfang - In: The journal of derivatives : the official publication … 16 (2008/09) 3, pp. 23-37
Persistent link: https://www.econbiz.de/10003852619
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A matrix-based lattice model to value employee stock options
Bajaj, Mukesh; Mazumdar, Sumon C.; Surana, Rahul; Unni, … - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 9-26
Persistent link: https://www.econbiz.de/10003379099
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Credit spread options valuation under GARCH
Tahani, Nabil - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 27-39
Persistent link: https://www.econbiz.de/10003379106
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On pricing and hedging in the swaption market : how many factors, really?
Fan, Rong; Gupta, Anurag; Ritchken, Peter H. - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 9-33
Persistent link: https://www.econbiz.de/10003611410
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Do lead-lag effects affect derivative pricing?
Korn, Olaf; Uhrig-Homburg, Marliese - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 34-51
Persistent link: https://www.econbiz.de/10003611417
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Cross-currency equity swaps in the BGM model
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 15 (2007) 2, pp. 60-76
Persistent link: https://www.econbiz.de/10003673317
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Displaced jump-diffusion option valuation
Câmara, António; Krehbiehl, Tim; Li, Weiping - In: The journal of derivatives : the official publication … 17 (2009/10) 2, pp. 41-58
Persistent link: https://www.econbiz.de/10003925808