Enhancing valuation of variable annuities in Lévy models with stochastic interest rate.
- Published in:
- Scandinavian Actuarial Journal, 2025, v. 2025, n. 2, p. 213, doi. 10.1080/03461238.2024.2402816
- By:
- Publication type:
- Article
Works matching DE "HULL-White model"
Results: 24
1
2
An improved of Hull–White model for valuing Employee Stock Options (ESOs).
- Published in:
- Review of Quantitative Finance & Accounting, 2020, v. 54, n. 2, p. 651, doi. 10.1007/s11156-019-00802-x
- By:
- Publication type:
- Article
3
Options pricing with Markov regime switching Heston volatility Hull–White interest rates and stochastic intensity.
- Published in:
- Probability in the Engineering & Informational Sciences, 2025, v. 39, n. 2, p. 1, doi. 10.1017/S0269964824000202
- Publication type:
- Article
4
European Call Option under Stochastic Interest Rate in a Fractional Brownian Motion with Transaction Cost.
- Published in:
- European Journal of Pure & Applied Mathematics, 2024, v. 17, n. 3, p. 2299, doi. 10.29020/nybg.ejpam.v17i3.5107
- By:
- Publication type:
- Article
5
The General Hull-White Model and Supercalibration.
- Published in:
- Financial Analysts Journal, 2001, v. 57, n. 6, p. 34, doi. 10.2469/faj.v57.n6.2491
- By:
- Publication type:
- Article
6
PRICING PERPETUAL TIMER OPTION UNDER THE STOCHASTIC VOLATILITY MODEL OF HULL–WHITE.
- Published in:
- ANZIAM Journal, 2017, v. 58, n. 3/4, p. 406, doi. 10.1017/S1446181117000177
- By:
- Publication type:
- Article
7
Pricing of Multi-Defaultable Bonds with a Two-Correlated-Factor Hull–White Model.
- Published in:
- Applied Mathematical Finance, 2007, v. 14, n. 1, p. 19, doi. 10.1080/13504860600658943
- By:
- Publication type:
- Article
8
Estimation of stochastic volatility in the Hull–White model.
- Published in:
- Applied Mathematical Finance, 2000, v. 7, n. 3, p. 153, doi. 10.1080/13504860110046074
- By:
- Publication type:
- Article
9
Exploring Dynamic Asset Pricing within Bachelier's Market Model.
- Published in:
- Journal of Risk & Financial Management, 2023, v. 16, n. 8, p. 352, doi. 10.3390/jrfm16080352
- By:
- Publication type:
- Article
10
The geometry of multi-curve interest rate models.
- Published in:
- Quantitative Finance, 2025, v. 25, n. 2, p. 323, doi. 10.1080/14697688.2024.2409276
- By:
- Publication type:
- Article
11
Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes: by Cornelis W. Oosterlee and Lech A. Grzelak, World Scientific Pub Co Inc (2019). Hardback. ISBN 978-1786348050.
- Published in:
- Quantitative Finance, 2022, v. 22, n. 11, p. 1971, doi. 10.1080/14697688.2022.2117641
- By:
- Publication type:
- Article
12
On the Deterministic-Shift Extended CIR Model in a Negative Interest Rate Framework.
- Published in:
- International Journal of Financial Studies, 2022, v. 10, n. 2, p. 38, doi. 10.3390/ijfs10020038
- By:
- Publication type:
- Article
13
AN EMPIRICAL TEST OF THE HULL-WHITE OPTION PRICING MODEL.
- Published in:
- 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
- By:
- Publication type:
- Article
14
Caplets/Floorlets with Backward-Looking Risk-Free Rates under the One- and Two-Factor Hull-White Models.
- Published in:
- Journal of Derivatives, 2023, v. 31, n. 1, p. 96, doi. 10.3905/jod.2023.1.186
- By:
- Publication type:
- Article
15
Pricing Coupon Bond Options and Swaptions under the One-Factor Hull-White Model.
- Published in:
- Journal of Fixed Income, 2016, v. 25, n. 4, p. 76, doi. 10.3905/jfi.2016.25.4.076
- By:
- Publication type:
- Article
16
An economic scenario generator for embedded derivatives in South Africa.
- Published in:
- South African Actuarial Journal, 2022, v. 22, p. 79, doi. 10.4314/saaj.v22i1.4
- By:
- Publication type:
- Article
17
The Hull--White model under volatility uncertainty.
- Published in:
- Quantitative Finance, 2021, v. 21, n. 11, p. 1921, doi. 10.1080/14697688.2021.1923788
- By:
- Publication type:
- Article
18
Closed-form Arrow-Debreu pricing for the Hull-White short rate model.
- Published in:
- Quantitative Finance, 2019, v. 19, n. 12, p. 2087, doi. 10.1080/14697688.2019.1636125
- By:
- Publication type:
- Article
19
Extension of stochastic volatility equity models with the Hull–White interest rate process.
- Published in:
- Quantitative Finance, 2012, v. 12, n. 1, p. 89, doi. 10.1080/14697680903170809
- By:
- Publication type:
- Article
20
Application of the Heston and Hull-White models to German Dax data.
- Published in:
- Quantitative Finance, 2004, v. 4, n. 6, p. 685, doi. 10.1080/14697680500040256
- By:
- Publication type:
- Article
21
Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model.
- Published in:
- Frontiers of Mathematics in China, 2018, v. 13, n. 4, p. 809, doi. 10.1007/s11464-018-0705-0
- By:
- Publication type:
- Article
22
IMPLIED VOLATILITY IN THE HULL–WHITE MODEL.
- Published in:
- Mathematical Finance, 2009, v. 19, n. 2, p. 303, doi. 10.1111/j.1467-9965.2009.00368.x
- By:
- Publication type:
- Article
23
Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model.
- Published in:
- Methodology & Computing in Applied Probability, 2018, v. 20, n. 1, p. 289, doi. 10.1007/s11009-017-9548-5
- By:
- Publication type:
- Article
24
An online estimation scheme for a Hull–White model with HMM-driven parameters.
- Published in:
- Statistical Methods & Applications, 2009, v. 18, n. 1, p. 87, doi. 10.1007/s10260-007-0082-4
- By:
- Publication type:
- Article