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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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Consistency conditions for affine term structure models : II. option pricing under diffusions with embedded jumps
Levendorskij, Sergej Z. - In: Annals of finance 2 (2006) 2, pp. 207-224
Persistent link: https://www.econbiz.de/10003282260
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Option valuation with long-run and short-run volatility components
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: Journal of financial economics 90 (2008) 3, pp. 272-297
Persistent link: https://www.econbiz.de/10003833351
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Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk
Chen, Nan; Kou, Steven - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 343-378
Persistent link: https://www.econbiz.de/10003882482
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Valuation of guaranteed annuity options in affine term structure models
Chu, Chi Chiu; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 363-387
Persistent link: https://www.econbiz.de/10003441993
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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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Valuación de opciones sobre índices bursátiles y determinación de la estructura de plazos de la tasa de interés en un modelo de equilibrio general
Ángeles Castro, Gerardo; Venegas-Martínez, Francisco - In: Investigación económica : revista de la Faculdad de … 69 (2010), pp. 43-80
Persistent link: https://www.econbiz.de/10003969036
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Pricing CMS spread options in a Libor market model
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 45-62
Persistent link: https://www.econbiz.de/10008860424
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Modeling the term structure of interest rates : a review of the literature
Gibson, Rajna; Lhabitant, François-Serge; Talay, Denis - 2010
Persistent link: https://www.econbiz.de/10008904346
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Pricing commodity spread options with stochastic term structure of convenience yields and interest rates
Nakajima, Katsushi; Maeda, Akira - In: Asia-Pacific financial markets 14 (2007) 1/2, pp. 157-184
Persistent link: https://www.econbiz.de/10003609542