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Options-implied probability density functions for real interest rates

Wright, Jonathan H. - In: International journal of central banking : IJCB 12 (2016) 3, pp. 129-149

Persistent link: https://www.econbiz.de/10011577880

Discussion of "options-implied probability density functions for real interest rates"

Swanson, Eric T. - In: International journal of central banking : IJCB 12 (2016) 3, pp. 151-159

Persistent link: https://www.econbiz.de/10011577892

Introduction to financial derivatives : modeling, pricing and hedging

Schumacher, Johannes M. - 2020

Persistent link: https://www.econbiz.de/10012435295

Bewertung multivariater Derivate : zeit- und zustandsdiskrete Modellierungen

Kobel, Michael - 1996

Persistent link: https://www.econbiz.de/10000562865

Solution of the extended CIR term structure and bond option valuation

Maghsoodi, Yoosef - In: Mathematical finance : an international journal of … 6 (1996) 1, pp. 89-109

Persistent link: https://www.econbiz.de/10001201643

A multifactor Gauss Markov implementation of Heath, Jarrow, and Morton

Brace, Alan - In: Mathematical finance : an international journal of … 4 (1994) 3, pp. 259-283

Persistent link: https://www.econbiz.de/10001185092

Determining pledged loan-to-value ratio: an option pricing perspective

Zhang, Ran; Zhang, Jing; Xu, Shuang - In: Financial innovation : FIN 1 (2015) 16, pp. 1-13

Background: We investigated the determination of the pledged loan-to-value ratio in an optionpricing environment and mainly articulated the theoretical framework and analytical method. Methods: The basic idea is that the present value of the pledged loan payoff is equal to a put option’s...

Persistent link: https://www.econbiz.de/10011541978

A two-factor cointegrated commodity price model with an application to spread option pricing

Farkas, Walter; Gourier, Elise; Huitema, Robert; … - 2016 - This version: May 20, 2016

upward sloping correlation term structure. The model is calibrated to futures price data of ten commodities. The results … provide compelling evidence of cointegration in the data. Implications for the prices of futures and options written on common …

Persistent link: https://www.econbiz.de/10011507774

The leverage effect and the basket-index put spread

Bai, Jennie; Goldstein, Robert S.; Yang, Fan - In: Journal of financial economics 131 (2019) 1, pp. 186-205

Persistent link: https://www.econbiz.de/10012130889

The options market reaction to bank loan announcements

Anagnostopoulou, Seraina C.; Ferentinou, Aikaterini C.; … - In: Journal of financial services research : JFSR 53 (2018) 1, pp. 99-139

Persistent link: https://www.econbiz.de/10012023932

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