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Pricing of long-dated commodity derivatives : do stochastic interest rates matter?
Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - In: Journal of banking & finance 95 (2018), pp. 148-166
Persistent link: https://www.econbiz.de/10011966734
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Pricing the deflation protection option in TIPS using and HJM model with inflation- and interest-rate jumps
Chuang, Ming-Che; Lin, Shih-kuei; Chiang, Mi-Hsiu - In: The journal of derivatives : the official publication … 26 (2018) 2, pp. 50-69
Persistent link: https://www.econbiz.de/10011968699
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The value of convexity : a theoretical and empirical investigation
Rebonato, Riccardo; Putyatin, Vladislav - In: Quantitative finance 18 (2018) 1, pp. 11-30
Persistent link: https://www.econbiz.de/10011905821
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A multiple-curve Lévy forward rate model in a two-price economy
Eberlein, Ernst; Gerhart, Christoph - In: Quantitative finance 18 (2018) 4, pp. 537-561
Persistent link: https://www.econbiz.de/10011906431
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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
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Analytical pricing of European bond options within one-factor quadratic term structure models
Leblon, Grégoire; Moraux, Franck - In: The journal of derivatives : the official publication … 24 (2017) 3, pp. 29-41
Persistent link: https://www.econbiz.de/10011687340
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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
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Pricing of long-dated commodity derivatives with stochastic volatility and stochastic interest rates
Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2015
Persistent link: https://www.econbiz.de/10011777512
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Eurodollar futures pricing in log-normal interest rate models in discrete time
Pirjol, Dan - In: Applied mathematical finance 23 (2016) 5/6, pp. 445-464
Persistent link: https://www.econbiz.de/10011704268
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Asset pricing under general collateralization
Mi, Yanhui - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-23
Persistent link: https://www.econbiz.de/10011777842