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isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~language:"eng"
~subject:"Option pricing theory"
~type:"article"
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Option pricing theory
Yield curve
114
Zinsstruktur
114
Theorie
85
Theory
85
Optionspreistheorie
51
Interest rate derivative
22
Zinsderivat
22
Volatility
16
Volatilität
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Stochastischer Prozess
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Swap
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Chen, Son-nan
4
Wu, Ting-pin
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Levendorskij, Sergej Z.
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Brace, Alan
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Eberlein, Ernst
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Musiela, Marek
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Ritchken, Peter H.
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Rogers, Leonard C. G.
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Sankarasubramanian, L.
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Chang, Jui-jane
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1
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1
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Mathematical finance : an international journal of mathematics, statistics and financial theory
The journal of derivatives : the official publication of the International Association of Financial Engineers
International journal of theoretical and applied finance
40
The journal of computational finance
23
Journal of banking & finance
22
Applied mathematical finance
21
Finance and stochastics
18
Quantitative finance
17
Review of derivatives research
17
The journal of fixed income
15
The journal of futures markets
14
International journal of financial engineering
13
Risks : open access journal
10
Finance research letters
9
Journal of financial economics
8
The review of financial studies
8
Asia-Pacific financial markets
7
The European journal of finance
7
Insurance / Mathematics & economics
6
Journal of mathematical finance
6
The journal of finance : the journal of the American Finance Association
6
European journal of operational research : EJOR
5
Mathematics and financial economics
5
The North American journal of economics and finance : a journal of financial economics studies
5
Annals of finance
4
Annals of financial economics
4
Journal of economic dynamics & control
4
Journal of financial and quantitative analysis : JFQA
4
Management science : journal of the Institute for Operations Research and the Management Sciences
4
Mathematical finance : an international journal of mathematics, statistics and financial economics
4
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
3
Advances in futures and options research : a research annual
3
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
3
Computational Management Science : CMS
3
Economic modelling
3
International journal of bonds and derivatives
3
International review of economics & finance : IREF
3
International review of financial analysis
3
Journal of econometrics
3
Journal of empirical finance
3
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ECONIS (ZBW)
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1
Another look at the Ho-Lee bond option pricing model
Kim, Young Shin
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
The journal of derivatives : the official publication …
25
(
2018
)
4
,
pp. 48-53
Persistent link: https://www.econbiz.de/10011965408
Saved in:
2
Pricing the deflation protection option in TIPS using and HJM model with inflation- and interest-rate jumps
Chuang, Ming-Che
;
Lin, Shih-kuei
;
Chiang, Mi-Hsiu
- In:
The journal of derivatives : the official publication …
26
(
2018
)
2
,
pp. 50-69
Persistent link: https://www.econbiz.de/10011968699
Saved in:
3
A simple and efficient two-factor willow tree method for convertible bond pricing with stochastic interest rate and default risk
Lu, Ling
;
Xu, Wei
- In:
The journal of derivatives : the official publication …
25
(
2017
)
1
,
pp. 37-54
Persistent link: https://www.econbiz.de/10011931521
Saved in:
4
Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 1089-1123
Persistent link: https://www.econbiz.de/10011765022
Saved in:
5
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
Saved in:
6
Analytical pricing of European bond options within one-factor quadratic term structure models
Leblon, Grégoire
;
Moraux, Franck
- In:
The journal of derivatives : the official publication …
24
(
2017
)
3
,
pp. 29-41
Persistent link: https://www.econbiz.de/10011687340
Saved in:
7
Modeling term structure of default correlation
Suchintabandid, Sira
- In:
The journal of derivatives : the official publication …
22
(
2015
)
4
,
pp. 26-36
Persistent link: https://www.econbiz.de/10011399738
Saved in:
8
Swaption pricing in affine and other models
Kim, Don H.
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 790-820
Persistent link: https://www.econbiz.de/10011308168
Saved in:
9
Pricing swaptions under multifactor Gaussian HJM models
Nunes, Joaõ Pedro Vidal
;
Prazeres, Pedro Miguel Silva
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 762-789
Persistent link: https://www.econbiz.de/10011308169
Saved in:
10
Barrier caps and floors under the LIBOR market model with double exponential jumps
Chang, Jui-jane
;
Chen, Son-nan
;
Wang, Chun-chao
;
Wu, …
- In:
The journal of derivatives : the official publication …
21
(
2014
)
4
,
pp. 7-30
Persistent link: https://www.econbiz.de/10010387683
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