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Pricing Barrier Options with One-Factor Interest Rate Models
16 references·3 citing·33 second hop
Pricing Barrier Options with One-Factor Interest Rate Models (2003)Pricing Barrier Options with One-Factor I…Theory of rational option pricing (2005)Theory of rational option pri…Efficient Methods for Valuing Interest Rate Derivatives (2000)Efficient Methods for Valuing…The adaptive mesh model: a new approach to efficient option pricing (1999)The adaptive mesh model: a ne…STATIC HEDGING OF EXOTIC OPTIONS (1999)STATIC HEDGING OF EXOTIC OPTI…Static Hedging of Exotic Options (1998)Static Hedging of Exotic Opti…LIBOR and swap market models and measures (1997)LIBOR and swap market models …PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH (1996)PRICING AND HEDGING DOUBLE‐BA…On Pricing Barrier Options (1995)On Pricing Barrier OptionsAdvances in Futures and Options Research (1994)Advances in Futures and Optio…Pricing Options With Curved Boundaries 1 (1992)Pricing Options With Curved B…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…An Exact Bond Option Formula (1989)An Exact Bond Option FormulaParsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…A numerical method for pricing discrete double barrier option by Legendre multiwavelet (2017)A numerical method for pricin…Pricing and static hedging of American-style knock-in options on defaultable stocks (2015)Pricing and static hedging of…Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model (2014)Pricing and static hedging of…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)The pricing of commodity contracts (1976)Returns of claims on the upside and the viability of U-shaped pricing kernels☆ (2010)The Skew Risk Premium in the Equity Index Market (2013)Arbitrage and duality in nondominated discrete-time models (2015)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Pricing American-style securities using simulation (1997)A Jump-Diffusion Model for Option Pricing (2002)Arbitrage Theory in Continuous Time (2004)Measuring the Term Structure of Interest Rates (1971)THE TAX‐ADJUSTED YIELD CURVE (1975)The Determinants of Credit Spread Changes (2001)Founding family ownership and the agency cost of debt (2003)Term Structure of Interest Rates (2008)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Option pricing: A simplified approach (1979)Chapter 49 Arch models (1994)Modeling and pricing long memory in stock market volatility (1996)Volatility forecast comparison using imperfect volatility proxies (2010)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 2005Theory of rational option pricing7,183 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1997LIBOR and swap market models and measures746 cited
  • 1989An Exact Bond Option Formula731 cited
  • 1994Advances in Futures and Options Research287 cited
  • 1998Static Hedging of Exotic Options286 cited
  • 1992Pricing Options With Curved Boundaries 1268 cited
  • 1996PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH229 cited
  • 1999The adaptive mesh model: a new approach to efficient option pricing222 cited
  • 2000Efficient Methods for Valuing Interest Rate Derivatives217 cited
  • 1995On Pricing Barrier Options201 cited
  • 1999STATIC HEDGING OF EXOTIC OPTIONS181 cited

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  • 2015Pricing and static hedging of American-style knock-in options on defaultable stocks19 cited
  • 2014Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model17 cited
  • 2017A numerical method for pricing discrete double barrier option by Legendre multiwavelet15 cited