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Interest rate option pricing with volatility humps
Ritchken, Peter H.; Chuang, Iyuan - In: Review of derivatives research 3 (1999) 3, pp. 237-262
Persistent link: https://www.econbiz.de/10001493259
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Pricing options under generalised GARCH and stochastic volatility processes
Ritchken, Peter H.; Trevor, Robert G. - 1997
Persistent link: https://www.econbiz.de/10000978436
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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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Pricing options under generalized GARCH and stochastic volatility processes
Ritchken, Peter; Trevor, Rob - In: The journal of finance : the journal of the American … 54 (1999) 1, pp. 377-402
Persistent link: https://www.econbiz.de/10001355222
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On bounding option prices in Paretian stable markets
Popova, Ivilina - In: The journal of derivatives : the official publication … 5 (1998) 4, pp. 32-43
Persistent link: https://www.econbiz.de/10001246678
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Volatility structures of forward rates and the dynamics of the term structure
Ritchken, Peter H. - In: Mathematical finance : an international journal of … 5 (1995) 1, pp. 55-72
Persistent link: https://www.econbiz.de/10001185062
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On pricing kernels and finite-state variable health Jarrow Morton models
Pennacchi, George G. - In: Review of derivatives research 1 (1996) 1, pp. 87-99
Persistent link: https://www.econbiz.de/10001205609
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On arbitrage-free pricing of interest rate contingent claims
Ritchken, Peter H. - In: The journal of finance : the journal of the American … 45 (1990) 1, pp. 259-264
Persistent link: https://www.econbiz.de/10001084192
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The importance of forward rate volatility structures in pricing interest rate-sensitive claims
Ritchken, Peter H. - In: The journal of derivatives : the official publication … 3 (1995) 1, pp. 25-41
Persistent link: https://www.econbiz.de/10001219431
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Multinomial approximating models for options with k state variables
Kamrad, Bardia - In: Management science : journal of the Institute for … 37 (1991) 12, pp. 1640-1652
Persistent link: https://www.econbiz.de/10001120186