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Calibrating and pricing with a stochastic-local volatility model
Tian, Yu; Zhu, Zili; Lee, Geoffrey; Klebaner, Fima C.; … - In: The journal of derivatives : the official publication … 22 (2015) 3, pp. 21-39
Persistent link: https://www.econbiz.de/10011399673
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A multi-parameter extension of Figlewski’s option-pricing formula
Orosi, Greg - In: The journal of derivatives : the official publication … 19 (2011) 1, pp. 72-82
Persistent link: https://www.econbiz.de/10009316794
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A new model for pricing collateralized financial derivatives
Xiao, Tim - In: The journal of derivatives : the official publication … 24 (2017) 4, pp. 8-20
Persistent link: https://www.econbiz.de/10011687345
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Another look at the Ho-Lee bond option pricing model
Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: The journal of derivatives : the official publication … 25 (2018) 4, pp. 48-53
Persistent link: https://www.econbiz.de/10011965408
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A flexible lattice model for pricing contingent claims under multiple risk factors
Russo, Emilio; Staino, Alessandro - In: The journal of derivatives : the official publication … 26 (2018) 1, pp. 27-44
Persistent link: https://www.econbiz.de/10011968670
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Pricing the deflation protection option in TIPS using and HJM model with inflation- and interest-rate jumps
Chuang, Ming-Che; Lin, Shih-kuei; Chiang, Mi-Hsiu - In: The journal of derivatives : the official publication … 26 (2018) 2, pp. 50-69
Persistent link: https://www.econbiz.de/10011968699
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A simple closed-form formula for pricing basket options
Kan, Kin Hung - In: The journal of derivatives : the official publication … 25 (2017) 1, pp. 104-110
Persistent link: https://www.econbiz.de/10011931875
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Valuations of mortality-linked structured products
Yueh, Meng-Lan; Chiu, Hsin-Yu; Tsai, Shou-Hsun - In: The journal of derivatives : the official publication … 24 (2016) 2, pp. 66-87
Persistent link: https://www.econbiz.de/10011687336
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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