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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
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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 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 commodity swaptions in multifactor models
Larsson, Karl - In: The journal of derivatives : the official publication … 19 (2011) 2, pp. 32-44
Persistent link: https://www.econbiz.de/10009413614
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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