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Pricing discrete barrier options with an adaptive mesh model
Ahn, Dong-Hyun; Figlewski, Stephen; Gao, Bin - In: The journal of derivatives : the official publication … 6 (1999) 4, pp. 33-43
Persistent link: https://www.econbiz.de/10001432450
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Pricing Discrete Barrier Options with an Adaptive Mesh Model
Ahn, Dong-Hyun; Figlewski, Stephen; Gao, Bin - In: The journal of derivatives : the official publication … 6 (1999) 4, pp. 33-44
Persistent link: https://www.econbiz.de/10007338974
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Purebred or hybrid? : reproducing the volatility in term structure dynamics
Ahn, Dong-Hyun; Dittmar, Robert F.; Gallant, A. Ronald; … - In: Journal of econometrics 116 (2003) 1/2, pp. 147-180
Persistent link: https://www.econbiz.de/10001772146
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Locally complete markets, exchange rates and currency options
Ahn, Dong-Hyun; Gao, Bin - In: Review of derivatives research 6 (2003) 1, pp. 5-26
Persistent link: https://www.econbiz.de/10001772396
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Purebred or hybrid?: Reproducing the volatility in term structure dynamics
Ahn, Dong-Hyun; Dittmar, Robert F.; Gallant, A. Ronald; … - In: Journal of Econometrics 116 (2003) 1-2, pp. 147-180
Persistent link: https://www.econbiz.de/10005238939
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Locally Complete Markets, Exchange Rates and Currency Options
Ahn, Dong-Hyun; Gao, Bin - In: Review of derivatives research 6 (2003) 1, pp. 5-26
Persistent link: https://www.econbiz.de/10005936396
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A Parametric Nonlinear Model of Term Structure Dynamics
Ahn, Dong-Hyun; Gao, Bin - In: The review of financial studies 12 (1999) 4, pp. 721-762
Persistent link: https://www.econbiz.de/10007055452
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Purebred or hybrid?: Reproducing the volatility in term structure dynamics
Ahn, Dong-Hyun; Dittmar, Robert F.; Gallant, A.Ronald; … - In: Journal of econometrics 116 (2003) 1, pp. 147-180
Persistent link: https://www.econbiz.de/10006761941
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A Parametric Nonlinear Model of Term Structure Dynamics.
Ahn, Dong-Hyun; Gao, Bin - In: Review of Financial Studies 12 (1999) 4, pp. 721-62
Recent nonparametric estimation studies pioneered by Ait-Sahalia document that the diffusion of the short rate is similar to the parametric function, r[superscript 1.5], estimated by Chan et al., whereas the drift is substantially nonlinear in the short rate. These empirical properties call into...
Persistent link: https://www.econbiz.de/10005447354
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The adaptive mesh model : a new approach to efficient option pricing
Figlewski, Stephen; Gao, Bin - In: Journal of financial economics 53 (1999) 3, pp. 313-351
Persistent link: https://www.econbiz.de/10001394622