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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 volatility derivatives
Broadie, Mark; Jain, Ashish - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 7-24
Persistent link: https://www.econbiz.de/10003673338
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A simple approach to pricing American options under the Heston stochastic volatility model
Beliaeva, Natalia A.; Nawalkha, Sanjay K. - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 25-43
Persistent link: https://www.econbiz.de/10003985507
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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
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Pricing American options in the Heston model : a close look at incorporating correlation
Ruckdeschel, Peter; Sayer, Tilman; Szimayer, Alexander - In: The journal of derivatives : the official publication … 20 (2012) 3, pp. 9-29
Persistent link: https://www.econbiz.de/10009725351
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A forward shooting grid method for option pricing with stochastic volatility
Costabile, Massimo; Massabo, Ivar; Russo, Emilio - In: The journal of derivatives : the official publication … 20 (2012) 2, pp. 67-78
Persistent link: https://www.econbiz.de/10009718105
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Just-in-time Monte Carlo for path-dependent American options
Dutt, Samir K.; Welke, Gerd M. - In: The journal of derivatives : the official publication … 15 (2008) 4, pp. 29-47
Persistent link: https://www.econbiz.de/10003733222
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Stochastic alpha-beta-rho hedging for foreign exchange options : is it worth the effort?
Yang, Yifan; Fabozzi, Frank J.; Bianchi, Michele Leonardo - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 76-89
Persistent link: https://www.econbiz.de/10011404590
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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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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