Similar Search Results

Options on forward and futures contracts in the affine term structure model

Leblanc, Boris - In: Advances in futures and options research : a research annual 8 (1995), pp. 241-261

Persistent link: https://www.econbiz.de/10001211281

A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary

Leblanc, Boris; Renault, Olivier; Scaillet, Olivier - In: Finance and stochastics 4 (2000) 1, pp. 109-111

Persistent link: https://www.econbiz.de/10001486629

Path dependent options on yields in the affine term structure model

Leblanc, Boris - In: Finance and stochastics 2 (1998) 4, pp. 349-367

Persistent link: https://www.econbiz.de/10001246924

Path dependent options on yields in the affine term structure model

Leblanc, Boris; Scaillet, Olivier - 1995

Persistent link: https://www.econbiz.de/10000910562

Path Dependent Options on Yields in the Affine Term Structure Model

Leblanc, Boris - 1998

We give analytical pricing formulae for path dependent options on yields in the framework of the affine term structure model. More precisely, European call options such as the arithmetic average call, the call on maximum and the lookback call are examined. For the two last options approximate...

Persistent link: https://www.econbiz.de/10012790476

Path dependent options on yields in the affine term structure modely

Leblanc, Boris; Scaillet, Olivier - In: Finance and stochastics 2 (1998) 4, pp. 349-368

Persistent link: https://www.econbiz.de/10008218799

Path dependent options on yields in the affine term structure modely

Leblanc, Boris; Scaillet, Olivier - In: Finance and stochastics 2 (1998) 4, pp. 349-368

Persistent link: https://www.econbiz.de/10008218804

Path dependent options on yields in the affine term structure model

Scaillet, Olivier; Leblanc, Boris - In: Finance and Stochastics 2 (1998) 4, pp. 349-367

Persistent link: https://www.econbiz.de/10005613410