Narrow search
Showing 1 - 10 of 243
Cover Image
Valuation of interest rate spread options in a multifactor LIBOR market model
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 16 (2008/09) 3, pp. 38-52
Persistent link: https://www.econbiz.de/10003852622
Cover Image
Barrier caps and floors under the LIBOR market model with double exponential jumps
Chang, Jui-jane; Chen, Son-nan; Wang, Chun-chao; Wu, … - In: The journal of derivatives : the official publication … 21 (2014) 4, pp. 7-30
Persistent link: https://www.econbiz.de/10010387683
Cover Image
Efficient control variates and strategies for Bermudan swaptions in a LIBOR market model
Jensen, Malene Shin; Svenstrup, Mikkel - In: The journal of derivatives : the official publication … 12 (2004) 4, pp. 20-33
Persistent link: https://www.econbiz.de/10003010725
Cover Image
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
Cover Image
The importance of forward rate volatility structures in pricing interest rate-sensitive claims
Ritchken, Peter H. - In: The journal of derivatives : the official publication … 3 (1995) 1, pp. 25-41
Persistent link: https://www.econbiz.de/10001219431
Cover Image
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
Cover Image
Valuation of CMS spread options with nonzero strike rates in the LIBOR market model
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 19 (2011) 1, pp. 41-55
Persistent link: https://www.econbiz.de/10009316812
Cover Image
Modeling term structure of default correlation
Suchintabandid, Sira - In: The journal of derivatives : the official publication … 22 (2015) 4, pp. 26-36
Persistent link: https://www.econbiz.de/10011399738
Cover Image
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
Cover Image
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