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Structural default modeling : a lattice-based approach

Jabbour, George M.; Kramin, Marat V.; Young, Stephen D. - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 44-53

Persistent link: https://www.econbiz.de/10003985509

Multinominal lattices and derivatives pricing

Jabbour, George M.; Kramin, Marat V.; Kramin, Timur V.; … - In: Advances in quantitative analysis of finance and … 2 (2005), pp. 1-15

Persistent link: https://www.econbiz.de/10003103130

Option pricing and higher order moments

Young, Stephen D.; Jabbour, George M.; Kramin, Marat V.; … - In: Advances in quantitative analysis of finance and … 10 (2002), pp. 23-39

Persistent link: https://www.econbiz.de/10001753316

Two-State Option Pricing: Binomial Models Revisited

Jabbour, George M.; Kramin, Marat V.; Young, Stephen D. - In: The journal of futures markets 21 (2001) 11, pp. 987-1002

Persistent link: https://www.econbiz.de/10006830895

<IT><B>N<-B><-IT>th-to-default swaps: valuation and analysis

Jabbour, George M.; Kramin, Marat V.; Young, Stephen D. - In: Managerial finance 35 (2009) 1, pp. 25-47

Persistent link: https://www.econbiz.de/10008163131

Nth-to-default swaps: valuation and analysis

Jabbour, George M.; Kramin, Marat V.; Young, Stephen D. - In: Managerial finance 35 (2008) 1, pp. 25-48

Persistent link: https://www.econbiz.de/10009965938

Option pricing and higher order moments

Young, Stephen D.; Jabbour, George M.; Kramin, Marat V.; … - In: Advances in quantitative analysis of finance and … 10 (2002), pp. 23-39

Persistent link: https://www.econbiz.de/10009924703

Multinominal lattices and derivatives pricing

Jabbour, George M.; Kramin, Marat V.; Kramin, Timur V.; … - In: Advances in quantitative analysis of finance and … 2 (2005), pp. 1-15

Persistent link: https://www.econbiz.de/10009924728

Two‐State Option Pricing: Binomial Models Revisited

Jabbour, George M.; Kramin, Marat V.; Young, Stephen D. - In: Journal of Futures Markets 21 (2001) 11, pp. 987-1001

This article revisits the topic of two‐state option pricing. It examines the models developed by Cox, Ross, and Rubinstein (1979), Rendleman and Bartter (1979), and Trigeorgis (1991) and presents two alternative binomial models based on the continuous‐time and discrete‐time geometric...

Persistent link: https://www.econbiz.de/10011197301

Nth-to-default swaps: valuation and analysis

Jabbour, George M.; Kramin, Marat V.; Young, Stephen D. - In: Managerial Finance 35 (2009), pp. 25-47

Purpose - Credit derivatives continue to grow in popularity as well as complexity. While single-name credit default swaps are still the most popular instruments, second-generation products have become more commonplace. Second generation products are those whose payoffs are contingent on the...

Persistent link: https://www.econbiz.de/10010761732