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SOFR term structure dynamics : discontinuous short rates and stochastic volatility forward rates
Brace, Alan; Gellert, Karol; Schlögl, Erik - In: The journal of futures markets 44 (2024) 6, pp. 936-985
Persistent link: https://www.econbiz.de/10014536708
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Analytically pricing exchange options with stochastic liquidity and regime switching
He, Xin-Jiang; Lin, Sha - In: The journal of futures markets 43 (2023) 5, pp. 662-676
Persistent link: https://www.econbiz.de/10014293179
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Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
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Performance comparison of alternative stochastic volatility models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features
Fernandes, Mário Correia; Dias, José Carlos; Nunes, … - In: The journal of futures markets 44 (2024) 3, pp. 343-383
Persistent link: https://www.econbiz.de/10014475488
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A generalization of Rubinstein's "pay now, choose later"
Guo, Jia-hau; Hung, Mao-Wei - In: The journal of futures markets 28 (2008) 5, pp. 488-515
Persistent link: https://www.econbiz.de/10003699777
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Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure
He, Xin-Jiang; Lin, Sha - In: The journal of futures markets 43 (2023) 7, pp. 951-967
Persistent link: https://www.econbiz.de/10014293271
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A stochastic-volatility equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first-passage default model
Dai, Tian-Shyr; Fan, Chen-Chiang; Liu, Liang-Chih; … - In: The journal of futures markets 42 (2022) 12, pp. 2103-2134
Persistent link: https://www.econbiz.de/10013465872
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Pricing and hedging the smile with SABR : evidence from the interest rate caps market
Wu, Tao L. - In: The journal of futures markets 32 (2012) 8, pp. 773-791
Persistent link: https://www.econbiz.de/10009554750
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Multiscale stochastic volatility with the Hull-White rate of interest
Kim, Jeong-Hoon; Yoon, Ji-Hun; Yu, Seok-Hyon - In: The journal of futures markets 34 (2014) 9, pp. 819-837
Persistent link: https://www.econbiz.de/10010507934
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An empirical comparison of continuous time models of the short term interest rate
Bali, Turan G. - In: The journal of futures markets 19 (1999) 7, pp. 777-797
Persistent link: https://www.econbiz.de/10001443351