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A multifactor spot rate model for the pricing of interest rate derivatives
Peterson, Sandra; Stapleton, Richard C.; Subrahmanyam, … - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 4, pp. 847-880
Persistent link: https://www.econbiz.de/10001859311
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Background risk and the demand for state-contingent claims
Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - In: Economic theory : official journal of the Society for … 23 (2004) 2, pp. 321-335
Persistent link: https://www.econbiz.de/10001871174
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The valuation of American barrier options using the decomposition technique
Gao, Bin; Huang, Jing-Zhi; Subrahmanyam, Marti G. - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1783-1827
Persistent link: https://www.econbiz.de/10001508774
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The valuation of American-style swaptions in a two-factor spot-futures model
Peterson, Sandra; Stapleton, Richard C.; Subrahmanyam, … - 1999
Persistent link: https://www.econbiz.de/10001463939
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The term structure of interest-rate futures prices
Stapleton, Richard C.; Subrahmanyam, Marti G. - 1999
Persistent link: https://www.econbiz.de/10001463940
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The valuation of American options with stochastic interest rates : a generalization of the Geske-Johnson technique
Ho, Teng-suan - In: The journal of finance : the journal of the American … 52 (1997) 2, pp. 827-840
Persistent link: https://www.econbiz.de/10001222419
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The valuation of American options on bonds
Ho, Teng-suan - In: Journal of banking & finance 21 (1997) 11, pp. 1487-1513
Persistent link: https://www.econbiz.de/10001236735
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The risk of a currency swap : a multivariate-binomial methodology
Ho, Teng-suan - In: European financial management : the journal of the … 4 (1998) 1, pp. 9-27
Persistent link: https://www.econbiz.de/10001244085
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Multivariate binomial approximations for asset prices with nonstationary variance and covariance characteristics
Ho, Teng-suan - In: The review of financial studies 8 (1995) 4, pp. 1125-1252
Persistent link: https://www.econbiz.de/10001198366
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Pricing and hedging American options : a recursive integration method
Huang, Jing-Zhi - In: The review of financial studies 9 (1996) 1, pp. 277-300
Persistent link: https://www.econbiz.de/10001198902