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The pricing of options on assets with stochastic volatilities
Hull, John; White, Alan - In: Options : classic approaches to pricing and modelling, (pp. 323-344). 1999
Persistent link: https://www.econbiz.de/10001772463
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A modified tempered stable distribution with volatility clustering
Kim, Young Shin; Račev, Svetlozar T.; Chung, Dong Myung; … - In: New developments in financial modelling, (pp. 344-365). 2008
Persistent link: https://www.econbiz.de/10003981863
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An option-theoretic approach to MBS valuation
Kalotay, Andrew J.; Yang, Deane; Fabozzi, Frank J. - In: The handbook of mortgage-backed securities, (pp. 799-821). 2006
Persistent link: https://www.econbiz.de/10003274038
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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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A new tempered stable distribution and its application to finance
Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Risk assessment : decisions in banking and finance, (pp. 77-109). 2008
Persistent link: https://www.econbiz.de/10003781614
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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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A neural network approach to understanding implied volatility movements
Cao, Jay; Chen, Jacky; Hull, John - In: Options - 45 years since the publication of the …, (pp. 235-256). 2023
Persistent link: https://www.econbiz.de/10014366653