Valuing fade-in options with default risk in Heston–Nandi GARCH models.
- Published in:
- Review of Derivatives Research, 2022, v. 25, n. 1, p. 1, doi. 10.1007/s11147-021-09179-3
- By:
- Publication type:
- Article
Works matching IS 13806645 AND DT 2022 AND VI 25 AND IP 1
Results: 4
1
2
Economic policy uncertainty and volatility of treasury futures.
- Published in:
- Review of Derivatives Research, 2022, v. 25, n. 1, p. 93, doi. 10.1007/s11147-021-09182-8
- By:
- Publication type:
- Article
3
Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods.
- Published in:
- Review of Derivatives Research, 2022, v. 25, n. 1, p. 47, doi. 10.1007/s11147-021-09181-9
- By:
- Publication type:
- Article
4
Optimal exercise of American put options near maturity: A new economic perspective.
- Published in:
- Review of Derivatives Research, 2022, v. 25, n. 1, p. 23, doi. 10.1007/s11147-021-09180-w
- By:
- Publication type:
- Article