Similar Search Results - EconBiz

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

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

The term structure of the price of variance risk

Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C. - 2015

We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing theories. First, we measure the PVR as proportional to the Sharpe ratio of short-term holding returns of delta-neutral index straddles; second, we estimate the PVR in a...

Persistent link: https://www.econbiz.de/10011303715

Less expensive pricing and hedging of long-dated equity index options when interest rates are stochastic

Fergusson, Kevin; Platen, Eckhard - 2015

Persistent link: https://www.econbiz.de/10011344299

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

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

The pricing of Asian options under stochastic interest rates

Aase Nielsen, Jørgen - 1995

Persistent link: https://www.econbiz.de/10000922816

Solution of the extended CIR term structure and bond option valuation

Maghsoodi, Yoosef - In: Mathematical finance : an international journal of … 6 (1996) 1, pp. 89-109

Persistent link: https://www.econbiz.de/10001201643

Bewertung multivariater Derivate : zeit- und zustandsdiskrete Modellierungen

Kobel, Michael - 1996

Persistent link: https://www.econbiz.de/10000562865

A generalized option valuation model for the pricing of bond options

Bookstaber, Richard M.; McDonald, James B. - In: Geschäftsbericht / Schluchseewerk Aktiengesellschaft … 4 (1985) 1, pp. 60-73

Persistent link: https://www.econbiz.de/10001935996

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