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Application of the Heath-Platen estimator in the Fong-Vasicek short rate model

Coskun, Sema; Korn, Ralf; Desmettre, Sascha - In: The journal of computational finance 23 (2019) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10012064963

Pricing credit default swap under fractional Vasicek interest rate model

Hao, Ruili; Liu, Yonghui; Wang, Shoubai - In: Journal of mathematical finance 4 (2014) 1, pp. 10-20

Persistent link: https://www.econbiz.de/10010422093

Information content and market liquidity in the fixed income market : evidence from the swaption market

Hattori, Takahiro - In: Finance research letters 45 (2022), pp. 1-5

Persistent link: https://www.econbiz.de/10014574914

Bewertung und empirische Analyse von Schuldnerkündigungsrechten

Schulze, Michael - 1996

Persistent link: https://www.econbiz.de/10000935922

Erfahrungen bei dem Einsatz von Modellen zur Bewertung von Zinsoptionen : eine empirische Studie

Bühler, Wolfgang (contributor) - In: Bewertung und Einsatz von Finanzderivaten, (pp. 1-42). 1997

Persistent link: https://www.econbiz.de/10001321785

An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options

Bühler, Wolfgang; Uhrig-Homburg, Marliese; Walter, Ulrich - In: The journal of finance : the journal of the American … 54 (1999) 1, pp. 269-305

Persistent link: https://www.econbiz.de/10001355209

Estimating the term structure of interest rates and pricing of interest rate derivatives

Meier, Iwan - 2000

Persistent link: https://www.econbiz.de/10001547188

A generalized one-factor term structure model and pricing of interest rate derivative securities

Jiang, George J. - 1997

Persistent link: https://www.econbiz.de/10000968609

Die Bewertung von Zinsoptionen

Walter, Ulrich - 1996

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A Modified Crank-Nicolson Method for Valuing Option Embedded Bonds Using the Hull-White Interest Rate Model

Perkins, Kiplin; Navin, Robert - 2022

We demonstrate a modified Crank-Nicolson finite-difference diffusion algorithm for valuing option-embedded bonds using the Hull-White model of the short rate process. In particular, this method allows the practitioner to maintain model stability with relatively large values of bond tenor even...

Persistent link: https://www.econbiz.de/10014235752