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Calibrating the Black-Derman-Toy model : some theoretical results
Boyle, Phelim P.; Tan, Ken Seng; Tian, Weidong - In: Applied mathematical finance 8 (2001) 1, pp. 27-48
Persistent link: https://www.econbiz.de/10001625667
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Applications of randomized low discrepancy sequences to the valuation of complex securities
Tan, Ken Seng; Boyle, Phelim P. - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1747-1782
Persistent link: https://www.econbiz.de/10001508772
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Annuity and insurance choice under habit formation
Boyle, Phelim P.; Tan, Ken Seng; Wei, Pengyu; Zhuang, … - In: Insurance / Mathematics & economics 105 (2022), pp. 211-237
Persistent link: https://www.econbiz.de/10013349013
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Stock and option proportions in executive compensation
Boyle, Phelim P.; Jha, Ranjini; Kennedy, Shannon; Tian, … - In: The quarterly journal of finance 1 (2011) 1, pp. 169-203
Persistent link: https://www.econbiz.de/10009270177
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Robust stochastic discount factors
Boyle, Phelim P.; Feng, Shui; Tian, Weidong; Wang, Tan - In: The review of financial studies 21 (2008) 3, pp. 1077-1122
Persistent link: https://www.econbiz.de/10003742222
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Portfolio management with constraints
Boyle, Phelim P.; Tian, Weidong - In: Mathematical finance : an international journal of … 17 (2007) 3, pp. 319-343
Persistent link: https://www.econbiz.de/10003626539
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Large deviation techniques and financial applications
Boyle, Phelim P.; Feng, Shui; Tian, Weidong - In: Financial engineering, (pp. 971-1000). 2008
Persistent link: https://www.econbiz.de/10003567865
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SYMPOSIUM ON TERM STRUCTURE MODELS AND INTEREST RATE VOLATILITY - QUADRATIC INTEREST RATE MODELS As APPROXIMATIONS TO EFFECTIVE RATE MODELS - Many of the classic stochastic interes...
Boyle, Phelim P.; Tian, Weidong - In: The journal of fixed income 9 (1999) 3, pp. 69-81
Persistent link: https://www.econbiz.de/10007182905
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Stock and option proportions in executive compensation
Boyle, Phelim P.; Jha, Ranjini; Kennedy, Shannon; Tian, … - In: The quarterly journal of finance 1 (2011) 1, pp. 169-203
Persistent link: https://www.econbiz.de/10009958668
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Calibrating the Black-Derman-Toy model: some theoretical results
Boyle, Phelim; Tan, Ken Seng; Tian, Weidong - In: Applied Mathematical Finance 8 (2001) 1, pp. 27-48
The Black-Derman-Toy (BDT) model is a popular one-factor interest rate model that is widely used by practitioners. One of its advantages is that the model can be calibrated to both the current market term structure of interest rate and the current term structure of volatilities. The input term...
Persistent link: https://www.econbiz.de/10005495413