Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case.
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- Review of Derivatives Research, 2010, v. 13, n. 2, p. 141, doi. 10.1007/s11147-009-9048-z
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Works matching IS 13806645 AND DT 2010 AND VI 13 AND IP 2
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A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes.
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- Review of Derivatives Research, 2010, v. 13, n. 2, p. 177, doi. 10.1007/s11147-009-9047-0
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3
An empirical analysis of alternative recovery risk models and implied recovery rates.
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- Review of Derivatives Research, 2010, v. 13, n. 2, p. 101, doi. 10.1007/s11147-009-9046-1
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4
A forward started jump-diffusion model and pricing of cliquet style exotics.
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- Review of Derivatives Research, 2010, v. 13, n. 2, p. 125, doi. 10.1007/s11147-009-9045-2
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