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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
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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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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
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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
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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
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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
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Testing the volatility term structure using option hedging criteria
Engle, Robert F.; Rosenberg, Joshua V. - In: The journal of derivatives : the official publication … 8 (2000) 1, pp. 10-28
Persistent link: https://www.econbiz.de/10001522314
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Numerical procedures for implementing term structure models I : single-factor models
Hull, John - In: The journal of derivatives : the official publication … 2 (1994) 1, pp. 7-16
Persistent link: https://www.econbiz.de/10001219340
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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
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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