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Using Hull-White Interest Rate Trees

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References

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1995On Pricing Barrier Options201 cited

Cited by

2002Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy152 cited
2003Design and Estimation of Quadratic Term Structure Models93 cited
1999An Empirical Comparison of Forward‐Rate and Spot‐Rate Models for Valuing Interest‐Rate Options89 cited
2009Extension of stochastic volatility equity models with the Hull–White interest rate process75 cited
2002A tree implementation of a credit spread model for credit derivatives69 cited
2012Integer-valued Lévy processes and low latency financial econometrics66 cited
2004Pricing and hedging interest rate options: Evidence from cap–floor markets51 cited
2017A closed-form pricing formula for European options under the Heston model with stochastic interest rate50 cited
2006A dynamic programming approach for pricing options embedded in bonds49 cited

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2011On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates48 cited

1997Pricing American interest rate claims with humped volatility models46 cited

2002Design and Estimation of Quadratic Term Structure Models42 cited

2001Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy39 cited

2004A Model of the Convenience Yields in On-the-Run Treasuries34 cited

2009Extension of Stochastic Volatility Equity Models with Hull-White Interest Rate Process33 cited

2016ON THE HESTON MODEL WITH STOCHASTIC CORRELATION32 cited