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Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis

Zhong, Yangfan; Mi, Yanhui - In: International journal of financial engineering 5 (2018) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10011923038

LIBOR market model with multiplicative basis

Zhong, Yangfan - In: International journal of financial engineering 5 (2018) 2, pp. 1-38

Persistent link: https://www.econbiz.de/10011923001

Asset pricing under general collateralization

Mi, Yanhui - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-23

Persistent link: https://www.econbiz.de/10011777842

A modified stochastic volatility model based on Gamma Ornstein-Uhlenbeck process and option pricing

Mi, Yanhui - In: International journal of financial engineering 3 (2016) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10011577132

A Modified Stochastic Volatility Model for Levy Process Based on Gamma Ornstein-Uhlenbeck Process and Option Pricing

Mi, Yanhui - 2017

Stochastic volatility model of the Gamma Ornstein-Uhlenbeck possess authentic capability of both capturing some stylized features of financial time series and pricing European options. In this work we modify the Gamma OU model from the viewpoint of Monte Carlo simulation, which is crucial in...

Persistent link: https://www.econbiz.de/10012961254