Similar Search Results

Pricing virtual currency-linked derivatives with time-inhomogeneity

Lian, Yu-Min; Chen, Jun-Home - In: International review of economics & finance : IREF 71 (2021), pp. 424-439

Persistent link: https://www.econbiz.de/10012627797

Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model

Tang, Kin Boon; Zheng, Wen-Jie; Lin, Chao-Yang; Lin, … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10012821303

The pricing and hedging of structured notes with systematic jump risk : an analysis of the USD knock-out reversed swap

Wang, Shin-yun; Lin, Shih-kuei - In: International review of economics & finance : IREF 19 (2010) 1, pp. 106-118

Persistent link: https://www.econbiz.de/10003927984

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

Pricing range accrual interest rate swap employing LIBOR market models with jump risks

Lin, Shih-kuei; Wang, Shin-yun; Chen, Carl R.; Xu, Lian-Wen - In: The North American journal of economics and finance : a … 42 (2017), pp. 359-373

Persistent link: https://www.econbiz.de/10011938138

Valuation of callable range accrual linked to CMS Spread under generalized swap market model

He, Jie-Cao; Hsieh, Chang-Chieh; Huang, Zi-Wei; Lin, … - In: International review of financial analysis 90 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014468776

Valuation of Callable Range Accrual Linked to CMS Spread Under Generalized Swap Market Model

He, Jiecao; Hsieh, Chang-Chieh; Huang, Zi-Wei; Lin, … - 2023

In this paper, we price a widely-used financial instrument, the callable range accrual linked to constant maturity swap (CMS) spread, with the least square Monte Carlo method (LSMC) under the generalized swap market model (GSMM). This method, based on the swap rate, does not only provide an...

Persistent link: https://www.econbiz.de/10014352914