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Stratified approximations for the pricing of options on average

Privault, Nicolas; Yu, Jiadong - In: The journal of computational finance 19 (2016) 4, pp. 95-113

Persistent link: https://www.econbiz.de/10011603193

Option pricing for symmetric Lévy returns with applications

Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, … - In: Asia-Pacific financial markets 22 (2015) 1, pp. 27-52

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Chapter 11 Intertemporal asset pricing theory

Duffie, Darrell - 2003

This is a survey of the basic theoretical foundations of intertemporal asset pricing theory. The broader theory is first reviewed in a simple discrete-time setting, emphasizing the key role of state prices. The existence of state prices is equivalent to the absence of arbitrage. State prices,...

Persistent link: https://www.econbiz.de/10014023860

Approximate series solutions of a one-factor term structure model for bond pricing

Edeki, Sunday Onos; Okoli, Deborah Chikwado; Ahmad, Hijaz; … - In: Annals of financial economics 16 (2021) 4, pp. 1-22

Persistent link: https://www.econbiz.de/10013185499

Bond and CDS Pricing with Recovery Risk I : The Stochastic Recovery Merton Model

Cohen, Albert - 2015

allows for a mechanism to increase credit spreads, and therefore may account for some of the bond mispricings typical when …

Persistent link: https://www.econbiz.de/10013031099

On Martingale Measures and Pricing for Continuous Bond-Stock Market with Stochastic Bond

Dokuchaev, Nikolai - 2014

calculated from observed bond prices. This allows to calculate the implied market price of risk process …

Persistent link: https://www.econbiz.de/10013067602

Option pricing with stochastic bond prices

Solnik, Bruno; Henrotte, Philippe - 1989

Persistent link: https://www.econbiz.de/10000759158

Credit derivatives pricing with stochastic volatility models

Chiarella, Carl; Chege Maina, Samuel; Nikitopoulos, … - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-28

Persistent link: https://www.econbiz.de/10009779780

Pricing of defaultable bonds with random information flow

Brody, Dorje C.; Law, Yan Tai - In: Applied mathematical finance 22 (2015) 5/6, pp. 399-420

Persistent link: https://www.econbiz.de/10011490604

Valuation of game option bonds under the generalized Ho-Lee model : a stochastic game approach

Ochiai, Natsumi; Ohnishi, Masamitsu - In: Journal of mathematical finance 5 (2015) 4, pp. 412-422

Persistent link: https://www.econbiz.de/10011439173