Pricing Barrier Bond Options with One-factor Interest Rate Models
Year of publication: |
2001-04-01
|
---|---|
Authors: | Kuan, Grace C.H. ; Webber, Nick |
Institutions: | Society for Computational Economics - SCE |
Subject: | barrier option | first passage time density | interest rate model |
Series: | |
---|---|
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Computing in Economics and Finance 2001 Number 245 |
Classification: | G13 - Contingent Pricing; Futures Pricing ; E43 - Determination of Interest Rates; Term Structure Interest Rates |
Source: |
-
Volatility of the short rate in the rational lognormal model
Goldberg, Lisa R., (1998)
-
Option-implied Libor rate expectations across currencies
Gebbia, Nick, (2016)
-
Pricing a Callable Leveraged Constant Maturity Swap Spread Note
Chertok, Daniel L., (2012)
- More ...
-
Pricing Barrier Options with One-Factor Interest Rate Models
Kuan, Grace C.H., (2003)
-
Very High Order Lattice Methods for One Factor Models
Alford, Jonathan, (2001)
-
Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge
Webber, Nick, (2003)
- More ...