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A simple induction approach and an efficient trinomial lattice for multi-state variable interest rate derivatives models

Kramin, Marat V.; Kramin, Timur V.; Younger, Stephen D.; … - In: Review of quantitative finance and accounting 24 (2005) 2, pp. 199-226

Persistent link: https://www.econbiz.de/10002851875

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

Derivatives on volatility : some simple solutions based on observables

Heston, Steven L.; Nandi, Saikat - 2000

Persistent link: https://www.econbiz.de/10001537175

A Discrete-Time Two-Factor Model for Pricing Bonds and Interest Rate Derivatives under Random Volatility

Heston, Steven L. - 2015

This paper develops a discrete-time two-factor model of interest rates with analytical solutions for bonds and many interest rate derivatives when the volatility of the short rate follows a GARCH process that can be correlated with the level of the short rate itself. Besides bond and bond...

Persistent link: https://www.econbiz.de/10013032670