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Pricing vulnerable options with stochastic volatility and stochastic interest rate
Ma, Chaoqun; Yue, Shengjie; Wu, Hui; Ma, Yong - In: Computational economics 56 (2020) 2, pp. 391-429
Persistent link: https://www.econbiz.de/10012272041
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Variance and interest rate risk in unit-linked insurance policies
Baños, David; Lagunas-Merino, Marc; Ortiz-Latorre, Salvador - In: Risks : open access journal 8 (2020) 3/84, pp. 1-23
this paper, we consider a general class of stochastic volatility models written in forward variance form. We also deal with … volatility model with a Vasicek interest rate model. …
Persistent link: https://www.econbiz.de/10012293269
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A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-17
Persistent link: https://www.econbiz.de/10012270996
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Fast swaption pricing in Gaussian term structure models
Choi, Jaehyuk; Shin, Sungchan - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 962-982
Persistent link: https://www.econbiz.de/10011583816
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Smile with the Gaussian term structure model
Ahdida, Abdelkoddousse; Alfonsi, Aurélien; Palidda, Ernesto - In: The journal of computational finance 21 (2017) 1, pp. 115-157
Persistent link: https://www.econbiz.de/10011691616
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Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonio - In: Insurance / Mathematics & economics 70 (2016), pp. 38-57
Persistent link: https://www.econbiz.de/10011597137
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A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya; Caramellino, Lucia; Zanette, Antonino - In: The journal of computational finance 21 (2017/2018) 3, pp. 1-45
Persistent link: https://www.econbiz.de/10011848334
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A nonparametric local volatility model for swaptions smile
Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of computational finance 21 (2017/2018) 5, pp. 35-62
Persistent link: https://www.econbiz.de/10011860899
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Index options and volatility derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan; Wei, Boyu; Yang, Hailiang - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10011891885
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Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Lin, Shih-kuei; Wang, Shin-yun; Chen, Carl R.; Xu, Lian-Wen - In: The North American journal of economics and finance : a … 42 (2017), pp. 359-373
Persistent link: https://www.econbiz.de/10011938138