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Empirical pricing performance in long-dated crude oil derivatives : do models with stochastic interest rates matter?
Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2016
Persistent link: https://www.econbiz.de/10011777909
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Calibrating a market model to commodity and interest rate risk
Karlsson, Patrik; Pilz, Kay Frederik; Schlögl, Erik - 2016
Persistent link: https://www.econbiz.de/10011778017
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Valuation of quanto floating range notes under the cross-currency LIBOR market model
Chou, Chi-Hsun; Hsieh, Tsung-Yu; Chen, Son-nan - In: International journal of economics and finance 7 (2015) 12, pp. 70-83
Persistent link: https://www.econbiz.de/10011411651
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Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models
Beliaeva, Natalia A.; Nawalkha, Sanjay K. - In: Journal of banking & finance 36 (2012) 1, pp. 151-163
Persistent link: https://www.econbiz.de/10009411156
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Consistent valuation across curves using pricing kernels
Macrina, Andrea; Mahomed, Obeid - In: Risks : open access journal 6 (2018) 1, pp. 1-39
multi-curve framework is formulated for emerging and developed inter-bank swap markets, which highlights an important dual …
Persistent link: https://www.econbiz.de/10011811563
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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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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
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Pricing for options in a mixed fractional Hull-White interest rate model
Pan, Jian; Zhou, Xiangying - In: International journal of financial engineering 4 (2017) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10011673121
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The effects of negative interest rates on the estimation of option sensitivities : the impact of switching from a log-normal to a normal model
Giribone, Pier Giuseppe; Ligato, Simone; Mulas, Martina - In: International journal of financial engineering 4 (2017) 1, pp. 1-42
Persistent link: https://www.econbiz.de/10011673134
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Estimation of bid-ask prices for options on LIBOR based instruments
Sonono, Masimba Energy; Mashele, Hopolang Phillip - In: Finance research letters 19 (2016), pp. 33-41
Persistent link: https://www.econbiz.de/10011657436