Found: 12
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Caplets/Floorlets with Backward-Looking Risk-Free Rates under the One- and Two-Factor Hull-White Models.
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- Journal of Derivatives, 2023, v. 31, n. 1, p. 96, doi. 10.3905/jod.2023.1.186
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- Article
Exploring Dynamic Asset Pricing within Bachelier's Market Model.
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- Journal of Risk & Financial Management, 2023, v. 16, n. 8, p. 352, doi. 10.3390/jrfm16080352
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- Article
On the Deterministic-Shift Extended CIR Model in a Negative Interest Rate Framework.
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- International Journal of Financial Studies, 2022, v. 10, n. 2, p. 38, doi. 10.3390/ijfs10020038
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- Article
An economic scenario generator for embedded derivatives in South Africa.
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- South African Actuarial Journal, 2022, v. 22, p. 79, doi. 10.4314/saaj.v22i1.4
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- Article
An improved of Hull–White model for valuing Employee Stock Options (ESOs).
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- Review of Quantitative Finance & Accounting, 2020, v. 54, n. 2, p. 651, doi. 10.1007/s11156-019-00802-x
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- Article
Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model.
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- Frontiers of Mathematics in China, 2018, v. 13, n. 4, p. 809, doi. 10.1007/s11464-018-0705-0
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- Article
Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model.
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- Methodology & Computing in Applied Probability, 2018, v. 20, n. 1, p. 289, doi. 10.1007/s11009-017-9548-5
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- Article
PRICING PERPETUAL TIMER OPTION UNDER THE STOCHASTIC VOLATILITY MODEL OF HULL–WHITE.
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- ANZIAM Journal, 2017, v. 58, n. 3/4, p. 406, doi. 10.1017/S1446181117000177
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- Article
Pricing Coupon Bond Options and Swaptions under the One-Factor Hull-White Model.
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- Journal of Fixed Income, 2016, v. 25, n. 4, p. 76, doi. 10.3905/jfi.2016.25.4.076
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- Article
IMPLIED VOLATILITY IN THE HULL–WHITE MODEL.
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- Mathematical Finance, 2009, v. 19, n. 2, p. 303, doi. 10.1111/j.1467-9965.2009.00368.x
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- Article
An online estimation scheme for a Hull–White model with HMM-driven parameters.
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- Statistical Methods & Applications, 2009, v. 18, n. 1, p. 87, doi. 10.1007/s10260-007-0082-4
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- Article
AN EMPIRICAL TEST OF THE HULL-WHITE OPTION PRICING MODEL.
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- Journal of Futures Markets, 1998, v. 18, n. 4, p. 263, doi. 10.1002/(SICI)1096-9934(199806)18:4<363::AID-FUT1>3.0.CO;2-K
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- Article