Similar Search Results

Evaluating callable and putable bonds : an eigenfunction expansion approach

Lim, Dongjae; Li, Lingfei; Linetsky, Vadim - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1888-1908

Persistent link: https://www.econbiz.de/10009701917

Localization and exact simulation of Brownian motion-driven stochastic differential equations

Chen, Nan; Huang, Zhengyu - In: Mathematics of operations research 38 (2013) 3, pp. 591-616

Persistent link: https://www.econbiz.de/10009787357

A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing

Yamada, Toshihiro; Yamamoto, Kenta - In: Quantitative finance 20 (2020) 11, pp. 1825-1837

Persistent link: https://www.econbiz.de/10012313518

Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes

Krasin, Vladislav Y.; Smirnov, Ivan; Melʹnikov, … - In: Annals of finance 14 (2018) 2, pp. 195-209

Persistent link: https://www.econbiz.de/10011945591

Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions

Reisinger, Christoph; Wissmann, Rasmus - In: The journal of computational finance 18 (2014/2015) 4, pp. 95-127

Persistent link: https://www.econbiz.de/10011441267

A weak MLMC scheme for Lévy-Copula-Driven SDEs with applications to the pricing of credit, equity and interest rate derivatives

Mijatović, Aleksandar; Palfray, Romain - In: Applied mathematical finance 31 (2024) 2, pp. 57-107

Persistent link: https://www.econbiz.de/10015415705

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

Numerical Solutions of PIDEs for the Prices of Bond Options, Swaps, Caps and Floors for Levy-Based Stochastic Interest Rate Models

Malyarenko, Anatoliy - 2010

In this paper, we show numerically how to calculate the price of bond options, swaps, caps and floors for Levy one …

Persistent link: https://www.econbiz.de/10013144189

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

Pricing bond options under a Markovian regime-switching Hull-White model

Shen, Yang; Siu, Tak Kuen - In: Economic modelling 30 (2013), pp. 933-940

Persistent link: https://www.econbiz.de/10009710001