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Review of derivatives research
European journal of operational research : EJOR
785
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1
Interst rate derivatives in a Duffie and Kan model with stochastic volatility : an Arrow-Debreu pricing approach
Nunes, Jo~ao Pedro Vidal
;
Clewlow, Les
;
Hodges, Stewart D.
- In:
Review of derivatives research
3
(
1999
)
1
,
pp. 5-66
Persistent link: https://www.econbiz.de/10001445808
Saved in:
2
A universal lattice
Chen, Ren-Raw
;
Yang, Tyler T.
- In:
Review of derivatives research
3
(
1999
)
2
,
pp. 115-133
Persistent link: https://www.econbiz.de/10001484568
Saved in:
3
Stochastic duration and fast coupon bond option pricing in multi-factor models
Munk, Claus
- In:
Review of derivatives research
3
(
1999
)
2
,
pp. 157-181
Persistent link: https://www.econbiz.de/10001484571
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4
Drift estimation of generalized security price processes from high frequency derivative prices
Pandher, Gurupdesh S.
- In:
Review of derivatives research
4
(
2000
)
3
,
pp. 263-284
Persistent link: https://www.econbiz.de/10001596721
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5
Window double barrier options
Guillaume, Tristan
- In:
Review of derivatives research
6
(
2003
)
1
,
pp. 47-75
Persistent link: https://www.econbiz.de/10001772426
Saved in:
6
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
Henderson, Vicky
;
Hobson, David G.
;
Howison, Sam
; …
- In:
Review of derivatives research
8
(
2005
)
1
,
pp. 5-25
Persistent link: https://www.econbiz.de/10002975937
Saved in:
7
A recombining lattice option pricing model that relaxes the assumption of lognormality
Ji, Dasheng
;
Brorsen, Wade
- In:
Review of derivatives research
14
(
2011
)
3
,
pp. 349-367
Persistent link: https://www.econbiz.de/10009349984
Saved in:
8
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
Saved in:
9
The [beta]-variance gamma model
Schoutens, Wim
;
Van Damme, Geert
- In:
Review of derivatives research
14
(
2011
)
3
,
pp. 263-282
Persistent link: https://www.econbiz.de/10009349988
Saved in:
10
The evaluation of Europe Griebschan compound option prices under stochastic volatility using Fourier transform techniques
Griebsch, Susanne A.
- In:
Review of derivatives research
16
(
2013
)
2
,
pp. 135-165
Persistent link: https://www.econbiz.de/10009774402
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