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Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model

Tang, Kin Boon; Zheng, Wen-Jie; Lin, Chao-Yang; Lin, … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10012821303

Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1089-1123

Persistent link: https://www.econbiz.de/10011765022

Analytical valuation of barrier interest rate options under market models

Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 17 (2009/10) 1, pp. 21-37

Persistent link: https://www.econbiz.de/10003892315

Evaluating callable and putable bonds : an eigenfunction expansion approach

Lim, Dongjae; Li, Lingfei; Linetsky, Vadim - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1888-1908

Persistent link: https://www.econbiz.de/10009701917

A robust tree method for pricing American options with the Cox-Ingersoll-Ross interest rate model

Appolloni, Elisa; Caramellino, Lucia; Zanette, Antonino - In: IMA journal of management mathematics 26 (2015) 4, pp. 377-401

Persistent link: https://www.econbiz.de/10011515669

Pricing and hedging volatility smile under multifactor interest rate models

Kuo, I.-doun - In: Review of quantitative finance and accounting 36 (2011) 1, pp. 83-104

Persistent link: https://www.econbiz.de/10009271374

Pricing vulnerable options with stochastic volatility and stochastic interest rate

Ma, Chaoqun; Yue, Shengjie; Wu, Hui; Ma, Yong - In: Computational economics 56 (2020) 2, pp. 391-429

Persistent link: https://www.econbiz.de/10012272041

Estimation of bid-ask prices for options on LIBOR based instruments

Sonono, Masimba Energy; Mashele, Hopolang Phillip - In: Finance research letters 19 (2016), pp. 33-41

Persistent link: https://www.econbiz.de/10011657436

Efficient solutions for pricing and hedging interest rate Asian options

Silva, Allan Jonathan da; Baczynski, Jack; Vicente, … - 2020

Persistent link: https://www.econbiz.de/10012171315

American Options in Levy Models With Stochastic Interest Rate of CIR-Type

Boyarchenko, Svetlana; Levendorskii, Sergei - 2007

A general numerical method for pricing American options in regime switching jump diffusion models of stock dynamics with stochastic interest rates and/or volatility is developed. Time derivative and infinitesimal generator of the process for factors that determine the dynamics of the interest...

Persistent link: https://www.econbiz.de/10014222457

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