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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
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A multifactor Gauss Markov implementation of Heath, Jarrow, and Morton
Brace, Alan - In: Mathematical finance : an international journal of … 4 (1994) 3, pp. 259-283
Persistent link: https://www.econbiz.de/10001185092
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Numerical Solutions of PIDEs for the Prices of Bond Options, Swaps, Caps and Floors for Levy-Based Stochastic Interest Rate Models
Malyarenko, Anatoliy - 2010
In this paper, we show numerically how to calculate the price of bond options, swaps, caps and floors for Levy one-factor stochastic interest rate models via partial integro-differential equations (PIDE). These models include, in particular, Ornshtein-Uhlenbeck (1930), Vasicek (1977),...
Persistent link: https://www.econbiz.de/10013144189
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The term structure of option-implied volatility and future realized volatility
Shi, Yukun; Zhang, Hao; Xu, Yaofei; Zhao, Yang - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 13, pp. 2997-3022
Persistent link: https://www.econbiz.de/10012211068
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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
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Valuation of floating range notes in Lévy term-structure models
Eberlein, Ernst; Kluge, Wolfgang - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 237-254
Persistent link: https://www.econbiz.de/10003325838
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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
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A forward started jump-diffusion model and pricing of cliquet style exotics
Drimus, Gabriel - In: Review of derivatives research 13 (2010) 2, pp. 125-140
Persistent link: https://www.econbiz.de/10008695496
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Volatility and price information contained in selected agricultural futures options
Egelkraut, Thorsten Michael - 2005
Persistent link: https://www.econbiz.de/10003380192
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Pricing swaptions and coupon bond options in affine term structure models
Schrager, David F.; Pelsser, Antoon André Jean - In: Mathematical finance : an international journal of … 16 (2006) 4, pp. 673-694
Persistent link: https://www.econbiz.de/10003394188