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A generalized option valuation model for the pricing of bond options

Bookstaber, Richard M.; McDonald, James B. - In: Geschäftsbericht / Schluchseewerk Aktiengesellschaft … 4 (1985) 1, pp. 60-73

Persistent link: https://www.econbiz.de/10001935996

Numerical Solutions of PIDEs for the Prices of Bond Options, Swaps, Caps and Floors for Levy-Based Stochastic Interest Rate Models

Malyarenko, Anatoliy - 2010

In this paper, we show numerically how to calculate the price of bond options, swaps, caps and floors for Levy one-factor stochastic interest rate models via partial integro-differential equations (PIDE). These models include, in particular, Ornshtein-Uhlenbeck (1930), Vasicek (1977),...

Persistent link: https://www.econbiz.de/10013144189

VIX option pricing and CBOE VIX Term Structure : a new methodology for volatility derivatives valuation

Lin, Yueh-neng - In: Journal of banking & finance 37 (2013) 11, pp. 4432-4446

Persistent link: https://www.econbiz.de/10010247020

Calibration of implied volatility for the exchange rate for the Chinese Yuan from its derivatives

Liang, Jin; Gao, Y. - In: Economic modelling 29 (2012) 4, pp. 1278-1285

Persistent link: https://www.econbiz.de/10009667379

Riding the swaption curve

Duyvesteyn, Johan; Zwart, Gerben Jacobus de - In: Journal of banking & finance 59 (2015), pp. 57-75

Persistent link: https://www.econbiz.de/10011544291

Index options and volatility derivatives in a Gaussian random field risk-neutral density model

Han, Xixuan; Wei, Boyu; Yang, Hailiang - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-41

Persistent link: https://www.econbiz.de/10011891885

Pricing coupon bond options and swaptions under the one-factor Hull-White model

Russo, Vincenzo; Fabozzi, Frank J. - In: The journal of fixed income 25 (2016) 4, pp. 76-82

Persistent link: https://www.econbiz.de/10011660738

Effect of liquidity on the implied volatility surface in interest rate options markets

Kim, Kwanho - In: Global business and finance review 22 (2017) 3, pp. 45-60

Persistent link: https://www.econbiz.de/10011849353

Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

Persistent link: https://www.econbiz.de/10012628654

The term structure of option-implied volatility and future realized volatility

Shi, Yukun; Zhang, Hao; Xu, Yaofei; Zhao, Yang - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 13, pp. 2997-3022

Persistent link: https://www.econbiz.de/10012211068

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