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An Empirical Analysis of Valuation Algorithms for Pricing Callable Snowball Floaters

Filipović, Damir - 2009

In this paper we value a callable snowball floater, a complex interest rate instrument with variable coupon payments, which depend on the prevailing interest rates in arrears and recursively on previous coupon payments. The embedded option requires solving an optimal stopping problem using the...

Persistent link: https://www.econbiz.de/10013157009

The term structure of interest rates : alternative approaches and their implications for the valuation of contingent claims

Subrahmanyam, Marti G. - In: The Geneva papers on risk and insurance theory 21 (1996) 1, pp. 7-28

Persistent link: https://www.econbiz.de/10001334894

The valuation of American barrier options using the decomposition technique

Gao, Bin; Huang, Jing-Zhi; Subrahmanyam, Marti G. - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1783-1827

Persistent link: https://www.econbiz.de/10001508774

Credit risk and credit derivatives : special issue

Brenner, Menachem (contributor); … - 1998

Persistent link: https://www.econbiz.de/10001497906

The valuation of American-style swaptions in a two-factor spot-futures model

Peterson, Sandra; Stapleton, Richard C.; Subrahmanyam, … - 1999

Persistent link: https://www.econbiz.de/10001463939

The valuation of American barrier options using the decomposition technique

Gao, Bin; Huang, Jing-Zhi; Subrahmanyam, Marti G. - 1998

Persistent link: https://www.econbiz.de/10000998129

Credit risk and the pricing of Japanese yen interest rate swaps

Eom, Young Ho; Subrahmanyam, Marti G.; Uno, Jun - 1997

Persistent link: https://www.econbiz.de/10000992592

The valuation of American options on bonds

Ho, Teng-suan - In: Journal of banking & finance 21 (1997) 11, pp. 1487-1513

Persistent link: https://www.econbiz.de/10001236735

The pricing of marked-to-market contingent claims in a no-arbitrage economy

Satchell, Stephen - In: Australian journal of management 22 (1997) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10001256338

Who buys and who sells options : the role of options in an economy with background risk

Franke, Günter - In: Journal of economic theory 82 (1998) 1, pp. 89-109

Persistent link: https://www.econbiz.de/10001246473

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