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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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Analytical valuation of barrier interest rate options under market models
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 17 (2009/10) 1, pp. 21-37
Persistent link: https://www.econbiz.de/10003892315
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A Markov chain model for valuing credit risk derivatives
Kijima, Masaaki - In: The journal of derivatives : the official publication … 6 (1998) 1, pp. 97-108
Persistent link: https://www.econbiz.de/10001248808
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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
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Non-affine option pricing
Chourdakis, Kyriakos - In: The journal of derivatives : the official publication … 11 (2003) 3, pp. 10-25
Persistent link: https://www.econbiz.de/10002007114
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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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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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Interest rate options in multifactor Cox-Ingersoll-Ross models of the term structure
Chen, Ren-Raw - In: The journal of derivatives : the official publication … 3 (1995) 2, pp. 53-72
Persistent link: https://www.econbiz.de/10001223183
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The term structure of equity risk : an empirical analysis
Dravid, Ajay R. - In: The journal of derivatives : the official publication … 3 (1996) 4, pp. 48-63
Persistent link: https://www.econbiz.de/10001202804
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An empirical examination of the Longstaff-Schwartz bond option valuation model
Uhrig, Marliese - In: The journal of derivatives : the official publication … 4 (1996) 1, pp. 41-54
Persistent link: https://www.econbiz.de/10001207623