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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
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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
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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
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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