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On the information in the interest rate term structure and option prices
Jong, Frank de; Driessen, Joost; Pelsser, Antoon André Jean - In: Review of derivatives research 7 (2004) 2, pp. 99-127
Persistent link: https://www.econbiz.de/10003153989
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Pricing and hedging American fixed-income derivatives with implied volatility structures in the two-factor Heath-Jarrow-Morton model
Zeto, Samuel Yau Man - In: The journal of futures markets 22 (2002) 9, pp. 839-875
Persistent link: https://www.econbiz.de/10001696688
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A two-factor term structure model under GARCH volatility
Heston, Steven L.; Nandi, Saikat - In: The journal of fixed income 13 (2003) 1, pp. 87-95
Persistent link: https://www.econbiz.de/10001782469
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Estimating the term structure of volatility and fixed-income derivative pricing
Gonçalves, Franklin de O. - In: The journal of fixed income 6 (1996) 1, pp. 32-39
Persistent link: https://www.econbiz.de/10001205427
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Pricing interest rate derivatives in a non-parametric two-factor term-structure model
Knight, John L.; Li, Fuchun; Yuan, Mingwei - 1999
Persistent link: https://www.econbiz.de/10001429788
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Determinants of the dollar value of default risk : a put option perspective
Chu, Quentin C.; Lin, Yun-Yung - In: Review of quantitative finance and accounting 16 (2001) 2, pp. 131-148
Persistent link: https://www.econbiz.de/10001748010
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Asset pricing : modeling and estimation ; with 30 tables
Kellerhals, Boris-Philipp - 2004 - 2. ed.
Persistent link: https://www.econbiz.de/10001857154
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Pricing eurodollar futures options using the BDT term structure model : the effect of yield curve smoothing
Bali, Turan G.; Karagozoglu, Ahmet K. - In: The journal of futures markets 20 (2000) 3, pp. 293-306
Persistent link: https://www.econbiz.de/10001485244
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Time series and cross-section information in affine term-structure models
Jong, Frank de - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 3, pp. 300-314
Persistent link: https://www.econbiz.de/10001493859
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Implied volatility of interest rate options : an empirical investigation of the market model
Christiansen, Charlotte; Strunk Hansen, Charlotte - 2000
Persistent link: https://www.econbiz.de/10001456681