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Pricing anomaly at the first sight : same borrower in different currencies faces different credit spreads : an explanation by means of a quanto option
Rathgeber, Andreas W.; Rudolph, David; Stöckl, Stefan - In: Review of derivatives research 18 (2015) 2, pp. 107-143
Persistent link: https://www.econbiz.de/10011477291
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American options and callable bonds under stochastic interest rates and endogenous bankruptcy
Nunes, Joaõ Pedro Vidal - In: Review of derivatives research 14 (2011) 3, pp. 283-332
Persistent link: https://www.econbiz.de/10009349987
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Bermudan option in Singapore Savings Bonds
Lim, Kian-Guan - In: Review of derivatives research 24 (2021) 1, pp. 31-54
Persistent link: https://www.econbiz.de/10012498470
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Pricing of defaultable bonds with log-normal spread : development of the model and an application to Argentinean and Brazilian Bonds during the Argentine crisis
Cané de Estrada, Mariano; Cortina, Elsa; Ferro … - In: Review of derivatives research 8 (2005) 1, pp. 49-60
Persistent link: https://www.econbiz.de/10002976023
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Yield curves from different bond data sets
Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - In: Review of derivatives research 23 (2020) 2, pp. 191-226
Persistent link: https://www.econbiz.de/10012229792
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On rational jump diffusion models : an approach using potentials
Burnetas, Apostolos N. - In: Review of derivatives research 1 (1997) 4, pp. 325-349
Persistent link: https://www.econbiz.de/10001238756
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Efficient option replication in the presence of transactions costs
Martellini, Lionel - In: Review of derivatives research 4 (2000) 2, pp. 107-131
Persistent link: https://www.econbiz.de/10001566793
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Effects of callable feature on early exercise policy
Kwok, Yue-Kuen; Wu, Lixin - In: Review of derivatives research 4 (2000) 2, pp. 189-211
Persistent link: https://www.econbiz.de/10001566802
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Valuation of commodity derivatives in a new multi-factor model
Yan, Xuemin Sterling - In: Review of derivatives research 5 (2002) 3, pp. 251-271
Persistent link: https://www.econbiz.de/10001743281
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Efficient, exact algorithms for Asian options with multiresolution lattices
Dai, Tian-Shyr; Lyuu, Yuh-dauh - In: Review of derivatives research 5 (2002) 2, pp. 181-203
Persistent link: https://www.econbiz.de/10001722147