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The valuation of compound options : a correction and an extension
Chen, Ren-Raw; He, Wei - In: The journal of derivatives : the official publication … 22 (2015) 4, pp. 92-104
Persistent link: https://www.econbiz.de/10011399781
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European compound options written on perpetual American options
Barone, Gaia - In: The journal of derivatives : the official publication … 20 (2012) 3, pp. 61-74
Persistent link: https://www.econbiz.de/10009725348
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The forward valuation of compound options
Buraschi, Andrea; Dumas, Bernard - In: The journal of derivatives : the official publication … 9 (2001) 1, pp. 8-17
Persistent link: https://www.econbiz.de/10001618892
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Evolution of interest rate models : a comparison
Ho, Thomas S. Y. - In: The journal of derivatives : the official publication … 2 (1995) 4, pp. 9-20
Persistent link: https://www.econbiz.de/10001223174
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Volatility surface calibration to illiquid options
Nagy, László; Ormos, Mihály - In: The journal of derivatives : the official publication … 26 (2019) 3, pp. 87-96
Persistent link: https://www.econbiz.de/10012306175
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Curve-fitting method for implied volatility
Wu, Desheng Dash; Liu, Tianxiang - In: The journal of derivatives : the official publication … 26 (2018) 2, pp. 19-37
Persistent link: https://www.econbiz.de/10011968684
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Conic option pricing
Madan, Dilip B.; Schoutens, Wim - In: The journal of derivatives : the official publication … 25 (2017) 1, pp. 10-36
Persistent link: https://www.econbiz.de/10011931506
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A comparison of Markov-functional and market models : the one-dimensional case
Bennett, Michael N.; Kennedy, Joanne E. - In: The journal of derivatives : the official publication … 13 (2005) 2, pp. 22-43
Persistent link: https://www.econbiz.de/10003299540
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A Markov chain model with stochastic default rate for valuation of credit spreads
Kodera, Eiji - In: The journal of derivatives : the official publication … 8 (2001) 4, pp. 8-18
Persistent link: https://www.econbiz.de/10001613575
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Pricing discretely monitored barrier options by a Markov chain
Duan, Jin-Chuan; Dudley, Evan; Gauthier, Geneviève; … - In: The journal of derivatives : the official publication … 10 (2003) 4, pp. 9-31
Persistent link: https://www.econbiz.de/10001781756