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Pricing and hedging bond power exchange options in a stochastic string term-structure model
Blenman, Lloyd P.; Bueno-Guerrero, Alberto; Clark, Steven P. - In: Risks : open access journal 10 (2022) 10, pp. 1-17
-form expressions for pricing and hedging bond power exchange options are obtained and, as particular cases, the corresponding … equivalence of the European and the American versions of bond power exchange options are provided and the put-call parity relation … for European bond power exchange options is established. Finally, we consider several applications of our results …
Persistent link: https://www.econbiz.de/10013555525
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Nonparametric interest rate cap pricing : implications for the "unspanned stochastic volatility" puzzle
Wu, Tao L. - In: Asia-Pacific journal of financial studies 40 (2011) 4, pp. 577-598
Persistent link: https://www.econbiz.de/10009388552
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A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen; Kerkhof, Franciscus Lambertus Johannes - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
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Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
Bishwal, Jaya Prakasah Narayan - In: Algorithmic finance 10 (2023) 1/2, pp. 53-66
Persistent link: https://www.econbiz.de/10014474576
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CMS spread options in quadratic Gaussian model
Rakhmonov, Parviz; Rakhmonov, Firuz - In: Review of derivatives research 25 (2022) 3, pp. 283-291
Persistent link: https://www.econbiz.de/10013457623
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Implications of implicit credit spread volatilities on interest rate modelling
Fanelli, Viviana - In: European journal of operational research : EJOR 263 (2017) 2, pp. 707-718
Persistent link: https://www.econbiz.de/10011794020
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Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model
Ng, Leslie - In: The journal of computational finance 18 (2014/15) 3, pp. 59-98
Persistent link: https://www.econbiz.de/10011298899
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A nonparametric local volatility model for swaptions smile
Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of computational finance 21 (2017/2018) 5, pp. 35-62
Persistent link: https://www.econbiz.de/10011860899
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Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility
Han, Yuecai; Zhang, Fengtong - In: Review of derivatives research 27 (2024) 1, pp. 37-53
Persistent link: https://www.econbiz.de/10015133907
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Arbitrage-free multifactor term structure models : a theory based on stochastic control
Gombani, Andrea; Runggaldier, Wolfgang J. - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 659-686
Persistent link: https://www.econbiz.de/10010187681