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Discontinuous interest rate processes : an equilibrium model for bond option prices
Attari, Mukarram - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 3, pp. 293-322
Persistent link: https://www.econbiz.de/10001453389
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Pricing lookback and barrier options under the CEV process
Boyle, Phelim P.; Tian, Yisong Sam - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 2, pp. 241-264
Persistent link: https://www.econbiz.de/10001436318
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Nonparametric modeling of US interest rate term structure dynamics and implications on the prices of derivative securities
Jiang, George J. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 4, pp. 465-497
Persistent link: https://www.econbiz.de/10001256376
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Valuation of commodity futures and options under stochastic convenience yields, interest rates, and jump diffusions in the spot
Hilliard, Jimmy E. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 1, pp. 61-86
Persistent link: https://www.econbiz.de/10001243204
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Pricing of options on commodity futures with stochastic term structures of convenience yields and interest rates
Miltersen, Kristian R. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 1, pp. 33-59
Persistent link: https://www.econbiz.de/10001243206
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A Markovian framework in multi-factor Heath-Jarrow-Morton models
Inui, Koji - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 3, pp. 423-440
Persistent link: https://www.econbiz.de/10001251496
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Asian options, the sum of lognormals, and the reciprocal gamma distribution
Milevsky, Moshe Arye - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 3, pp. 409-422
Persistent link: https://www.econbiz.de/10001251497
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Capital budgeting for interrelated projects : a real options approach
Childs, Paul D. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 3, pp. 305-334
Persistent link: https://www.econbiz.de/10001251501
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The maximum entropy distribution of an asset inferred from option prices
Buchen, Peter W. - In: Journal of financial and quantitative analysis : JFQA 31 (1996) 1, pp. 143-159
Persistent link: https://www.econbiz.de/10001208197
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On the mean-variance tradeoff in option replication with transactions costs
Toft, Klaus Bjerre - In: Journal of financial and quantitative analysis : JFQA 31 (1996) 2, pp. 233-263
Persistent link: https://www.econbiz.de/10001208255