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Stock loan with automatic termination clause, cap and margin
16 references·1 citing·31 second hop
Stock loan with automatic termination clause, cap and margin (2010)Stock loan with automatic termination cla…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…Some calculations for Israeli options (2004)Some calculations for Israeli…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Barrier options and touch-and-out options under regular Lévy processes of exponential type (2002)Barrier options and touch-and…The valuation of American barrier options using the decomposition technique (2000)The valuation of American bar…The Mathematical Foundations of Barrier Option-Pricing Theory (2000)The Mathematical Foundations …Pricing double barrier options using Laplace transforms (2000)Pricing double barrier option…PDE methods for pricing barrier options (2000)PDE methods for pricing barri…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…The Valuation of American Options on Multiple Assets (1997)The Valuation of American Opt…Handbook of Brownian Motion — Facts and Formulae (1996)Handbook of Brownian Motion —…Pricing Options With Curved Boundaries 1 (1992)Pricing Options With Curved B…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Semi-analytic valuation of stock loans with finite maturity (2015)Semi-analytic valuation of st…Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Pricing Lookback and Barrier Options under the CEV Process (1999)A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options (2005)Theory of rational option pricing (2005)CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (2011)The Pricing of Options and Corporate Liabilities (1973)PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH (1996)Connecting discrete and continuous path-dependent options (1999)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices (2000)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Fluctuations of Lévy Processes with Applications (2014)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1996Handbook of Brownian Motion — Facts and Formulae1,391 cited
  • 1998Methods of Mathematical Finance888 cited
  • 2005Applied Stochastic Control of Jump Diffusions883 cited
  • 1992Pricing Options With Curved Boundaries 1268 cited
  • 2000PDE methods for pricing barrier options195 cited
  • 1997The Valuation of American Options on Multiple Assets185 cited
  • 2000The Mathematical Foundations of Barrier Option-Pricing Theory157 cited
  • 2002Barrier options and touch-and-out options under regular Lévy processes of exponential type144 cited
  • 2000Pricing double barrier options using Laplace transforms136 cited
  • 2004Some calculations for Israeli options99 cited
  • 2000The valuation of American barrier options using the decomposition technique97 cited

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Cited by

  • 2015Semi-analytic valuation of stock loans with finite maturity18 cited