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An improved method for pricing and hedging long dated American options
Fabozzi, Frank J.; Paletta, Tommaso; Stanescu, Silvia; … - In: European journal of operational research : EJOR 254 (2016) 2, pp. 656-666
Persistent link: https://www.econbiz.de/10011509024
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Valuation of bonds with embedded options
Fabozzi, Frank J.; Mann, Steven V. - In: The theory and practice of investment management, (pp. 549-581). 2002
Persistent link: https://www.econbiz.de/10001730107
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Using the lattice model to value bonds with embedded options, floaters, options, and caps/floors
Fabozzi, Frank J.; Kalotay, Andrew; Dorigan, Michael - In: Interest rate, term structure, and valuation modeling, (pp. 357-378). 2002
Persistent link: https://www.econbiz.de/10001734184
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Barrier option pricing by branching processes
Mitov, Georgi K.; Račev, Svetlozar T.; Kim, Young Shin; … - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 1055-1073
Persistent link: https://www.econbiz.de/10003928804
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Valuation of bonds with embedded options
Fabozzi, Frank J.; Kalotay, Andrew J.; Dorigan, Michael - In: The handbook of fixed income securities, (pp. 851-872). 2005
Persistent link: https://www.econbiz.de/10003054912
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Using the lattice model to value bonds with embedded options, floaters, options, and caps/floors
Fabozzi, Frank J.; Kalotay, Andrew J.; Dorigan, Michael - 2008
Persistent link: https://www.econbiz.de/10003765587
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Introduction to the pricing of futures/forwards and options
Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003765704
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Barrier Option Pricing by Branching Processes
Mitov, Georgi K. - 2010
This paper examines the pricing of barrier options when the price of the underlying asset is modeled by a branching process in a random environment (BPRE). We derive an analytical formula for the price of an up-and-out call option, one form of a barrier option. Calibration of the model...
Persistent link: https://www.econbiz.de/10013150067
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Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan; Lindquist, W. Brent; Račev, Svetlozar T.; … - In: Journal of economic dynamics & control 137 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
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The handbook of fixed income options : strategies, pricing and applications
Fabozzi, Frank J. (ed.) - 1996 - Rev. ed.
Persistent link: https://www.econbiz.de/10013531679