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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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Valuing multiple employee stock options issued by the same company
Dennis, Patrick; Rendleman, Richard J. - In: The journal of derivatives : the official publication … 16 (2008/09) 1, pp. 44-69
Persistent link: https://www.econbiz.de/10003771453
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Derivative pricing models with regime switching : a general approach
Edwards, Craig Steven - In: The journal of derivatives : the official publication … 13 (2005) 1, pp. 41-47
Persistent link: https://www.econbiz.de/10003159539
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Curtailing the range for lattice and grid methods
Andricopoulos, Ari D.; Widdick, Martin; Duck, Peter W.; … - In: The journal of derivatives : the official publication … 11 (2004) 4, pp. 55-61
Persistent link: https://www.econbiz.de/10002108943
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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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On the pricing of power and other polynomial options
Macovschi, Stefan; Quittard-Pinon, François - In: The journal of derivatives : the official publication … 13 (2006) 4, pp. 61-71
Persistent link: https://www.econbiz.de/10003346507
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Barrier option pricing using adjusted transition probabilities
Barone-Adesi, Giovanni; Fusari, Nicola; Theal, John - In: The journal of derivatives : the official publication … 16 (2008/09) 2, pp. 36-53
Persistent link: https://www.econbiz.de/10003795257
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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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Pricing Parisian options by generating functions
Li, Bing-qing; Zhao, Hai-jian - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 72-81
Persistent link: https://www.econbiz.de/10003862827
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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